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Recently, the task of image generation has attracted much attention. In particular, the recent empirical successes of the Markov Chain Monte Carlo (MCMC) technique of Langevin Dynamics have prompted a number of theoretical advances; despite…
We propose an adaptively weighted stochastic gradient Langevin dynamics algorithm (SGLD), so-called contour stochastic gradient Langevin dynamics (CSGLD), for Bayesian learning in big data statistics. The proposed algorithm is essentially a…
We develop and analyze stochastic optimization algorithms for problems in which the expected loss is strongly convex, and the optimum is (approximately) sparse. Previous approaches are able to exploit only one of these two structures,…
The advancement of artificial intelligence has cast a new light on the development of optimization algorithm. This paper proposes to learn a two-phase (including a minimization phase and an escaping phase) global optimization algorithm for…
Unsupervised learning aims at the discovery of hidden structure that drives the observations in the real world. It is essential for success in modern machine learning. Latent variable models are versatile in unsupervised learning and have…
We revisit the problem of sampling from a target distribution that has a smooth strongly log-concave density everywhere in $\mathbb R^p$. In this context, if no additional density information is available, the randomized midpoint…
A commonly used heuristic in non-convex optimization is Normalized Gradient Descent (NGD) - a variant of gradient descent in which only the direction of the gradient is taken into account and its magnitude ignored. We analyze this heuristic…
High-dimensional linear regression under heavy-tailed noise or outlier corruption is challenging, both computationally and statistically. Convex approaches have been proven statistically optimal but suffer from high computational costs,…
Distributed optimization plays an important role in modern large-scale machine learning and data processing systems by optimizing the utilization of computational resources. One of the classical and popular approaches is Local Stochastic…
Exponentiated gradient descent (EGD), a biologically motivated optimisation algorithm that respects Dale's law, produces log-normally distributed synaptic weights at convergence, in alignment with experimental observations in neuroscience.…
The paper proposes and justifies a new algorithm of the proximal Newton type to solve a broad class of nonsmooth composite convex optimization problems without strong convexity assumptions. Based on advanced notions and techniques of…
Langevin Monte Carlo (LMC) algorithms are popular Markov Chain Monte Carlo (MCMC) methods to sample a target probability distribution, which arises in many applications in machine learning. Inspired by regime-switching stochastic…
We consider the geometric ergodicity of the Stochastic Gradient Langevin Dynamics (SGLD) algorithm under nonconvexity settings. Via the technique of reflection coupling, we prove the Wasserstein contraction of SGLD when the target…
Distributionally robust supervised learning (DRSL) is emerging as a key paradigm for building reliable machine learning systems for real-world applications -- reflecting the need for classifiers and predictive models that are robust to the…
Langevin dynamics has become a popular tool to simulate the Boltzmann equilibrium distribution. When the repartition of the Langevin equation involves the exact realization of the Ornstein-Uhlenbeck noise, in addition to the conventional…
We study the convergence behavior of the stochastic heavy-ball method with a small stepsize. Under a change of time scale, we approximate the discrete method by a stochastic differential equation that models small random perturbations of a…
Momentum Stochastic Gradient Descent (MSGD) algorithm has been widely applied to many nonconvex optimization problems in machine learning, e.g., training deep neural networks, variational Bayesian inference, and etc. Despite its empirical…
We propose a new self-adaptive, double-loop smoothing algorithm to solve composite, nonsmooth, and constrained convex optimization problems. Our algorithm is based on Nesterov's smoothing technique via general Bregman distance functions. It…
A novel Follow-the-Perturbed-Leader type algorithm is proposed and analyzed for solving general long-term constrained optimization problems in an online manner, where the target and constraint functions are oblivious adversarially generated…
The paper provides global optimization algorithms for two particularly difficult nonconvex problems raised by hybrid system identification: switching linear regression and bounded-error estimation. While most works focus on local…