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Particle based optimization algorithms have recently been developed as sampling methods that iteratively update a set of particles to approximate a target distribution. In particular Stein variational gradient descent has gained attention…
This paper introduces and examines numerical approximation schemes for computing risk budgeting portfolios associated to positive homogeneous and sub-additive risk measures. We employ Mirror Descent algorithms to determine the optimal risk…
A framework previously introduced in [3] for solving a sequence of stochastic optimization problems with bounded changes in the minimizers is extended and applied to machine learning problems such as regression and classification. The…
We propose an online parametric estimation method of stochastic differential equations with discrete observations and misspecified modelling based on online gradient descent. Our study provides uniform upper bounds for the risks of the…
Stochastic gradient methods are among the most widely used algorithms for large-scale optimization and machine learning. A key technique for improving the statistical efficiency and stability of these methods is the use of averaging schemes…
In this paper we propose a variant of the random coordinate descent method for solving linearly constrained convex optimization problems with composite objective functions. If the smooth part of the objective function has Lipschitz…
Prediction-correction algorithms are a highly effective class of methods for solving pseudo-convex optimization problems. The descent direction of these algorithms can be viewed as an adjustment to the gradient direction based on the…
In this paper, we propose a stochastic search algorithm for solving general optimization problems with little structure. The algorithm iteratively finds high quality solutions by randomly sampling candidate solutions from a parameterized…
Many machine learning applications and tasks rely on the stochastic gradient descent (SGD) algorithm and its variants. Effective step length selection is crucial for the success of these algorithms, which has motivated the development of…
The presence of uncertainty in material properties and geometry of a structure is ubiquitous. The design of robust engineering structures, therefore, needs to incorporate uncertainty in the optimization process. Stochastic gradient descent…
In this paper, we propose a proximal stochasitc gradient algorithm (PSGA) for solving composite optimization problems by incorporating variance reduction techniques and an adaptive step-size strategy. In the PSGA method, the objective…
Science about optimization methods is rapidly developing today. In machine learning, computer vision, biology, medicine, construction and in many other different areas optimization methods have vast popularity and they appear as important…
Variational approximation methods have proven to be useful for scaling Bayesian computations to large data sets and highly parametrized models. Applying variational methods involves solving an optimization problem, and recent research in…
We introduce a novel and efficient algorithm called the stochastic approximate gradient descent (SAGD), as an alternative to the stochastic gradient descent for cases where unbiased stochastic gradients cannot be trivially obtained.…
In this paper we propose an adaptively extrapolated proximal gradient method, which is based on the accelerated proximal gradient method (also known as FISTA), however we locally optimize the extrapolation parameter by carrying out an exact…
We propose randomized subspace gradient methods for high-dimensional constrained optimization. While there have been similarly purposed studies on unconstrained optimization problems, there have been few on constrained optimization problems…
We present a new class of gradient-type optimization methods that extends vanilla gradient descent, mirror descent, Riemannian gradient descent, and natural gradient descent. Our approach involves constructing a surrogate for the objective…
This paper introduces an iterative algorithm for training nonparametric additive models that enjoys favorable memory storage and computational requirements. The algorithm can be viewed as the functional counterpart of stochastic gradient…
Stochastic gradient descent (SGD) provides a simple and efficient way to solve a broad range of machine learning problems. Here, we focus on distribution regression (DR), involving two stages of sampling: Firstly, we regress from…
We consider the problem of fitting variational posterior approximations using stochastic optimization methods. The performance of these approximations depends on (1) how well the variational family matches the true posterior…