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We revisit the classical problem of finding an approximately stationary point of the average of $n$ smooth and possibly nonconvex functions. The optimal complexity of stochastic first-order methods in terms of the number of gradient…
Machine learning algorithms in high-dimensional settings are highly susceptible to the influence of even a small fraction of structured outliers, making robust optimization techniques essential. In particular, within the…
Stochastic gradient descent is the method of choice for large-scale machine learning problems, by virtue of its light complexity per iteration. However, it lags behind its non-stochastic counterparts with respect to the convergence rate,…
Convex regression (CR) is the problem of fitting a convex function to a finite number of noisy observations of an underlying convex function. CR is important in many domains and one of its workhorses is the non-parametric least square…
In this paper, the estimation problem for sparse reduced rank regression (SRRR) model is considered. The SRRR model is widely used for dimension reduction and variable selection with applications in signal processing, econometrics, etc. The…
Finding an $\epsilon$-stationary point of a nonconvex function with a Lipschitz continuous Hessian is a central problem in optimization. Regularized Newton methods are a classical tool and have been studied extensively, yet they still face…
In this paper, we propose a simple variant of the original stochastic variance reduction gradient (SVRG), where hereafter we refer to as the variance reduced stochastic gradient descent (VR-SGD). Different from the choices of the snapshot…
The recently proposed relaxed binaural beamforming (RBB) optimization problem provides a flexible trade-off between noise suppression and binaural-cue preservation of the sound sources in the acoustic scene. It minimizes the output noise…
Sparse learning is a very important tool for mining useful information and patterns from high dimensional data. Non-convex non-smooth regularized learning problems play essential roles in sparse learning, and have drawn extensive attentions…
We provide the first theoretical analysis on the convergence rate of the asynchronous stochastic variance reduced gradient (SVRG) descent algorithm on non-convex optimization. Recent studies have shown that the asynchronous stochastic…
Stochastic optimization algorithms are widely used for machine learning with large-scale data. However, their convergence often suffers from non-vanishing variance. Variance Reduction (VR) methods, such as SVRG and SARAH, address this issue…
In this letter, we address sparse signal recovery using spike and slab priors. In particular, we focus on a Bayesian framework where sparsity is enforced on reconstruction coefficients via probabilistic priors. The optimization resulting…
In this paper we analyze the randomized block-coordinate descent (RBCD) methods proposed in [8,11] for minimizing the sum of a smooth convex function and a block-separable convex function. In particular, we extend Nesterov's technique…
Convex regression (CR) problem deals with fitting a convex function to a finite number of observations. It has many applications in various disciplines, such as statistics, economics, operations research, and electrical engineering.…
While first-order optimization methods such as stochastic gradient descent (SGD) are popular in machine learning (ML), they come with well-known deficiencies, including relatively-slow convergence, sensitivity to the settings of…
Block coordinate descent methods and stochastic subgradient methods have been extensively studied in optimization and machine learning. By combining randomized block sampling with stochastic subgradient methods based on dual averaging, we…
This work considers the decentralized successive convex approximation (SCA) method for minimizing stochastic non-convex objectives subject to convex constraints, along with possibly non-smooth convex regularizers. Although SCA has been…
We study a class of non-convex and non-smooth problems with \textit{rank} regularization to promote sparsity in optimal solution. We propose to apply the proximal gradient descent method to solve the problem and accelerate the process with…
Distributionally robust optimization (DRO) has shown lot of promise in providing robustness in learning as well as sample based optimization problems. We endeavor to provide DRO solutions for a class of sum of fractionals, non-convex…
In this paper, we study second-order algorithms for solving nonconvex-strongly concave minimax problems, which have attracted much attention in recent years in many fields, especially in machine learning.We propose a gradient norm…