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This paper is devoted to the study of tilt stability in finite dimensional optimization via the approach of using the subgradient graphical derivative. We establish a new characterization of tilt-stable local minimizers for a broad class of…
In this paper we address the convergence of stochastic approximation when the functions to be minimized are not convex and nonsmooth. We show that the "mean-limit" approach to the convergence which leads, for smooth problems, to the ODE…
The problem of minimization of the sum of two convex functions has various theoretical and real-world applications. One of the popular methods for solving this problem is the proximal gradient method (proximal forward-backward algorithm). A…
In this paper we measured the stability of stochastic gradient method (SGM) for learning an approximated Fourier primal support vector machine. The stability of an algorithm is considered by measuring the generalization error in terms of…
Many modern machine learning applications - from online principal component analysis to covariance matrix identification and dictionary learning - can be formulated as minimization problems on Riemannian manifolds, and are typically solved…
In this paper we consider convex optimization problems with stochastic composite objective function subject to (possibly) infinite intersection of constraints. The objective function is expressed in terms of expectation operator over a sum…
In this paper, we provide a generalization of the forward-backward splitting algorithm for minimizing the sum of a proper convex lower semicontinuous function and a differentiable convex function whose gradient satisfies a locally…
We propose a stochastic optimization method for the minimization of the sum of three convex functions, one of which has Lipschitz continuous gradient as well as restricted strong convexity. Our approach is most suitable in the setting where…
We consider stochastic variational inequality problems where the mapping is monotone over a compact convex set. We present two robust variants of stochastic extragradient algorithms for solving such problems. Of these, the first scheme…
We study the iteration complexity of Lipschitz convex optimization problems satisfying a general error bound. We show that for this class of problems, subgradient descent with either Polyak stepsizes or decaying stepsizes achieves minimax…
We study differentiable strongly quasiconvex functions for providing new properties for algorithmic and monotonicity purposes. Furthemore, we provide insights into the decreasing behaviour of strongly quasiconvex functions, applying this…
We develop a class of algorithms, as variants of the stochastically controlled stochastic gradient (SCSG) methods (Lei and Jordan, 2016), for the smooth non-convex finite-sum optimization problem. Assuming the smoothness of each component,…
Stochastic gradient descent is a classic algorithm that has gained great popularity especially in the last decades as the most common approach for training models in machine learning. While the algorithm has been well-studied when…
Randomized smoothing is a widely adopted technique for optimizing nonsmooth objective functions. However, its efficiency analysis typically relies on global Lipschitz continuity, a condition rarely met in practical applications. To address…
Risk minimization for nonsmooth nonconvex problems naturally leads to first-order sampling or, by an abuse of terminology, to stochastic subgradient descent. We establish the convergence of this method in the path-differentiable case and…
In this paper, we address stochastic optimization problems involving a composition of a non-smooth outer function and a smooth inner function, a formulation frequently encountered in machine learning and operations research. To deal with…
Modern data science applications demand solving large-scale optimization problems. The prevalent approaches are first-order methods, valued for their scalability. These methods are implemented to tackle highly irregular problems where…
We study the class of subdifferentially polynomially bounded (SPB) functions, which is a rich class of locally Lipschitz functions that encompasses all Lipschitz functions, all gradient- or Hessian-Lipschitz functions, and even some…
While Standard gradient descent is one very popular optimisation method, its convergence cannot be proven beyond the class of functions whose gradient is globally Lipschitz continuous. As such, it is not actually applicable to realistic…
We consider minimization of stochastic functionals that are compositions of a (potentially) non-smooth convex function $h$ and smooth function $c$ and, more generally, stochastic weakly-convex functionals. We develop a family of stochastic…