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In this paper, we combine the positive aspects of the Gradient Sampling (GS) and bundle methods, as the most efficient methods in nonsmooth optimization, to develop a robust method for solving unconstrained nonsmooth convex optimization…

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…

We develop universal gradient methods for Stochastic Convex Optimization (SCO). Our algorithms automatically adapt not only to the oracle's noise but also to the H\"older smoothness of the objective function without a priori knowledge of…

This paper presents an algorithmic framework for solving unconstrained stochastic optimization problems using only stochastic function evaluations. We employ central finite-difference based gradient estimation methods to approximate the…

Stochastic Gradient Descent or SGD is the most popular optimization algorithm for large-scale problems. SGD estimates the gradient by uniform sampling with sample size one. There have been several other works that suggest faster epoch-wise…

Stochastic optimization lies at the heart of machine learning, and its cornerstone is stochastic gradient descent (SGD), a method introduced over 60 years ago. The last 8 years have seen an exciting new development: variance reduction (VR)…

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…

We prove novel convergence results for a stochastic proximal gradient algorithm suitable for solving a large class of convex optimization problems, where a convex objective function is given by the sum of a smooth and a possibly non-smooth…

We study the problem of learning high dimensional regression models regularized by a structured-sparsity-inducing penalty that encodes prior structural information on either input or output sides. We consider two widely adopted types of…

Stochastic optimization algorithms with variance reduction have proven successful for minimizing large finite sums of functions. Unfortunately, these techniques are unable to deal with stochastic perturbations of input data, induced for…

Time-varying optimization problems are prevalent in various engineering fields, and the ability to solve them accurately in real-time is becoming increasingly important. The prediction-correction algorithms used in smooth time-varying…

Stochastic gradient algorithms estimate the gradient based on only one or a few samples and enjoy low computational cost per iteration. They have been widely used in large-scale optimization problems. However, stochastic gradient algorithms…

The stochastic gradient Langevin Dynamics is one of the most fundamental algorithms to solve sampling problems and non-convex optimization appearing in several machine learning applications. Especially, its variance reduced versions have…

In this work, we develop analysis and algorithms for a class of (stochastic) bilevel optimization problems whose lower-level (LL) problem is strongly convex and linearly constrained. Most existing approaches for solving such problems rely…

In this work, we consider constrained stochastic optimization problems under hidden convexity, i.e., those that admit a convex reformulation via non-linear (but invertible) map $c(\cdot)$. A number of non-convex problems ranging from…

The stochastic subgradient method is a widely-used algorithm for solving large-scale optimization problems arising in machine learning. Often these problems are neither smooth nor convex. Recently, Davis et al. [1-2] characterized the…

Stochastic Gradient Descent (SGD) and its variants are the most used algorithms in machine learning applications. In particular, SGD with adaptive learning rates and momentum is the industry standard to train deep networks. Despite the…

The proximal stochastic gradient method (PSGD) is one of the state-of-the-art approaches for stochastic composite-type problems. In contrast to its deterministic counterpart, PSGD has been found to have difficulties with the correct…

Stochastic gradient descent (SGD) is a widely adopted iterative method for optimizing differentiable objective functions. In this paper, we propose and discuss a novel approach to scale up SGD in applications involving non-convex functions…

Sparsity-inducing regularization problems are ubiquitous in machine learning applications, ranging from feature selection to model compression. In this paper, we present a novel stochastic method -- Orthant Based Proximal Stochastic…