Related papers: Adaptive Stochastic Gradient Langevin Dynamics: Ta…
We consider the smooth convex-concave bilinearly-coupled saddle-point problem, $\min_{\mathbf{x}}\max_{\mathbf{y}}~F(\mathbf{x}) + H(\mathbf{x},\mathbf{y}) - G(\mathbf{y})$, where one has access to stochastic first-order oracles for $F$,…
We study optimization algorithms based on variance reduction for stochastic gradient descent (SGD). Remarkable recent progress has been made in this direction through development of algorithms like SAG, SVRG, SAGA. These algorithms have…
We study adaptive methods for differentially private convex optimization, proposing and analyzing differentially private variants of a Stochastic Gradient Descent (SGD) algorithm with adaptive stepsizes, as well as the AdaGrad algorithm. We…
Stochastic Gradient Descent (SGD) has played a central role in machine learning. However, it requires a carefully hand-picked stepsize for fast convergence, which is notoriously tedious and time-consuming to tune. Over the last several…
In this paper, a general stochastic optimization procedure is studied, unifying several variants of the stochastic gradient descent such as, among others, the stochastic heavy ball method, the Stochastic Nesterov Accelerated Gradient…
In this paper we propose a primal-dual proximal extragradient algorithm to solve the generalized Dantzig selector (GDS) estimation problem, based on a new convex-concave saddle-point (SP) reformulation. Our new formulation makes it possible…
It is known that adaptive optimization algorithms represent the key pillar behind the rise of the Machine Learning field. In the Optimization literature numerous studies have been devoted to accelerated gradient methods but only recently…
Deep linear networks (DLNs) are used as an analytically tractable model of the training dynamics of deep neural networks. While gradient descent in DLNs is known to exhibit saddle-to-saddle dynamics, the impact of stochastic gradient…
Unbalanced Optimal Transport (UOT) has emerged as a robust relaxation of standard Optimal Transport, particularly effective for handling outliers and mass variations. However, scalable algorithms for UOT, specifically those based on…
Gradient Langevin dynamics (GLD) and stochastic GLD (SGLD) have attracted considerable attention lately, as a way to provide convergence guarantees in a non-convex setting. However, the known rates grow exponentially with the dimension of…
Adversarial neural networks solve many important problems in data science, but are notoriously difficult to train. These difficulties come from the fact that optimal weights for adversarial nets correspond to saddle points, and not…
This paper analyzes the trajectories of stochastic gradient descent (SGD) to help understand the algorithm's convergence properties in non-convex problems. We first show that the sequence of iterates generated by SGD remains bounded and…
This work proposes a simple yet effective sampling framework for combinatorial optimization (CO). Our method builds on discrete Langevin dynamics (LD), an efficient gradient-guided generative paradigm. However, we observe that directly…
This paper presents fault-tolerant asynchronous Stochastic Gradient Descent (SGD) algorithms. SGD is widely used for approximating the minimum of a cost function $Q$, as a core part of optimization and learning algorithms. Our algorithms…
Gradient-based optimization methods are the most popular choice for finding local optima for classical minimization and saddle point problems. Here, we highlight a systemic issue of gradient dynamics that arise for saddle point problems,…
The paper studies a distributed gradient descent (DGD) process and considers the problem of showing that in nonconvex optimization problems, DGD typically converges to local minima rather than saddle points. The paper considers…
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…
We consider the contextual bandit problem, where a player sequentially makes decisions based on past observations to maximize the cumulative reward. Although many algorithms have been proposed for contextual bandit, most of them rely on…
We propose perturbed proximal algorithms that can provably escape strict saddles for nonsmooth weakly convex functions. The main results are based on a novel characterization of $\epsilon$-approximate local minimum for nonsmooth functions,…
We propose stochastic optimization algorithms that can find local minima faster than existing algorithms for nonconvex optimization problems, by exploiting the third-order smoothness to escape non-degenerate saddle points more efficiently.…