Related papers: Stochastic Proximal Gradient Algorithms for Penali…
We present a new feasible proximal gradient method for constrained optimization where both the objective and constraint functions are given by the summation of a smooth, possibly nonconvex function and a convex simple function. The…
We consider a class of stochastic smooth convex optimization problems under rather general assumptions on the noise in the stochastic gradient observation. As opposed to the classical problem setting in which the variance of noise is…
Stochastic Approximation has been a prominent set of tools for solving problems with noise and uncertainty. Increasingly, it becomes important to solve optimization problems wherein there is noise in both a set of constraints that a…
In this paper, we propose a novel sufficient decrease technique for variance reduced stochastic gradient descent methods such as SAG, SVRG and SAGA. In order to make sufficient decrease for stochastic optimization, we design a new…
Stochastic Gradient Descent has been widely studied with classification accuracy as a performance measure. However, these stochastic algorithms cannot be directly used when non-decomposable pairwise performance measures are used such as…
In the era of big data, optimizing large scale machine learning problems becomes a challenging task and draws significant attention. Asynchronous optimization algorithms come out as a promising solution. Recently, decoupled asynchronous…
Asynchronous parallel optimization algorithms for solving large-scale machine learning problems have drawn significant attention from academia to industry recently. This paper proposes a novel algorithm, decoupled asynchronous proximal…
Matrix completion has attracted much interest in the past decade in machine learning and computer vision. For low-rank promotion in matrix completion, the nuclear norm penalty is convenient due to its convexity but has a bias problem.…
We consider the problem of minimizing a convex objective which is the sum of a smooth part, with Lipschitz continuous gradient, and a nonsmooth part. Inspired by various applications, we focus on the case when the nonsmooth part is a…
Stochastic approximation Monte Carlo (SAMC) has recently been proposed by Liang, Liu and Carroll [J. Amer. Statist. Assoc. 102 (2007) 305--320] as a general simulation and optimization algorithm. In this paper, we propose to improve its…
In this paper, we introduce an unbiased gradient simulation algorithms for solving convex optimization problem with stochastic function compositions. We show that the unbiased gradient generated from the algorithm has finite variance and…
This paper considers stochastic optimization problems with weakly convex objective and constraint functions. We propose Prox-PEP, a proximal method equipped with quadratic subproblems. To handle nonlinear equality constraints, we employ an…
We study distributed optimization algorithms for minimizing the average of \emph{heterogeneous} functions distributed across several machines with a focus on communication efficiency. In such settings, naively using the classical stochastic…
In this paper, we study the proximal incremental aggregated gradient(PIAG) algorithm for minimizing the sum of L-smooth nonconvex component functions and a proper closed convex function. By exploiting the L-smooth property and with the help…
Stochastic algorithms, especially stochastic gradient descent (SGD), have proven to be the go-to methods in data science and machine learning. In recent years, the stochastic proximal point algorithm (SPPA) emerged, and it was shown to be…
We consider saddle point problems which objective functions are the average of $n$ strongly convex-concave individual components. Recently, researchers exploit variance reduction methods to solve such problems and achieve linear-convergence…
The motivation for this paper stems from the desire to develop an adaptive sampling method for solving constrained optimization problems in which the objective function is stochastic and the constraints are deterministic. The method…
Recent work has suggested using Monte Carlo methods based on piecewise deterministic Markov processes (PDMPs) to sample from target distributions of interest. PDMPs are non-reversible continuous-time processes endowed with momentum, and…
The performance of standard stochastic approximation implementations can vary significantly based on the choice of the steplength sequence, and in general, little guidance is provided about good choices. Motivated by this gap, in the first…
In this paper, we present a multilevel Monte Carlo (MLMC) version of the Stochastic Gradient (SG) method for optimization under uncertainty, in order to tackle Optimal Control Problems (OCP) where the constraints are described in the form…