Related papers: Asynchronous Stochastic Proximal Methods for Nonco…

We analyze two classical algorithms for solving additively composite convex optimization problems where the objective is the sum of a smooth term and a nonsmooth regularizer: proximal stochastic gradient method for a single regularizer; and…

With the recent proliferation of large-scale learning problems,there have been a lot of interest on distributed machine learning algorithms, particularly those that are based on stochastic gradient descent (SGD) and its variants. However,…

Stochastic non-smooth convex optimization constitutes a class of problems in machine learning and operations research. This paper considers minimization of a non-smooth function based on stochastic subgradients. When the function has a…

We propose a new asynchronous parallel block-descent algorithmic framework for the minimization of the sum of a smooth nonconvex function and a nonsmooth convex one, subject to both convex and nonconvex constraints. The proposed framework…

Many relevant problems in the area of systems and control, such as controller synthesis, observer design and model reduction, can be viewed as optimization problems involving dynamical systems: for instance, maximizing performance in the…

We consider the problem of minimizing the sum of two convex functions: one is the average of a large number of smooth component functions, and the other is a general convex function that admits a simple proximal mapping. We assume the whole…

In the realm of big data and machine learning, data-parallel, distributed stochastic algorithms have drawn significant attention in the present days.~While the synchronous versions of these algorithms are well understood in terms of their…

In this work, we present a globalized stochastic semismooth Newton method for solving stochastic optimization problems involving smooth nonconvex and nonsmooth convex terms in the objective function. We assume that only noisy gradient and…

In this paper, we investigate the non-asymptotic stationary convergence behavior of Stochastic Mirror Descent (SMD) for nonconvex optimization. We focus on a general class of nonconvex nonsmooth stochastic optimization problems, in which…

In this work, we consider convex optimization problems with smooth objective function and nonsmooth functional constraints. We propose a new stochastic gradient algorithm, called Stochastic Halfspace Approximation Method (SHAM), to solve…

Dual averaging and gradient descent with their stochastic variants stand as the two canonical recipe books for first-order optimization: Every modern variant can be viewed as a descendant of one or the other. In the convex regime, these…

We propose a new variant of AMSGrad, a popular adaptive gradient based optimization algorithm widely used for training deep neural networks. Our algorithm adds prior knowledge about the sequence of consecutive mini-batch gradients and…

SketchySGD improves upon existing stochastic gradient methods in machine learning by using randomized low-rank approximations to the subsampled Hessian and by introducing an automated stepsize that works well across a wide range of convex…

We consider the problem of optimizing the sum of a smooth convex function and a non-smooth convex function using proximal-gradient methods, where an error is present in the calculation of the gradient of the smooth term or in the proximity…

In recent literature, a general two step procedure has been formulated for solving the problem of phase retrieval. First, a spectral technique is used to obtain a constant-error initial estimate, following which, the estimate is refined to…

Stochastic optimization lies at the core of most statistical learning models. The recent great development of stochastic algorithmic tools focused significantly onto proximal gradient iterations, in order to find an efficient approach for…

Recent studies have illustrated that stochastic gradient Markov Chain Monte Carlo techniques have a strong potential in non-convex optimization, where local and global convergence guarantees can be shown under certain conditions. By…

Stochastic convex optimization algorithms are the most popular way to train machine learning models on large-scale data. Scaling up the training process of these models is crucial, but the most popular algorithm, Stochastic Gradient Descent…

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…

Decentralized optimization is a promising parallel computation paradigm for large-scale data analytics and machine learning problems defined over a network of nodes. This paper is concerned with decentralized non-convex composite problems…