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Distributed optimization, where the computations are performed in a localized and coordinated manner using multiple agents, is a promising approach for solving large-scale optimization problems, e.g., those arising in model predictive…
Online mirror descent (OMD) and dual averaging (DA) -- two fundamental algorithms for online convex optimization -- are known to have very similar (and sometimes identical) performance guarantees when used with a fixed learning rate. Under…
We consider risk-averse convex stochastic programs expressed in terms of extended polyhedral risk measures. We derive computable confidence intervals on the optimal value of such stochastic programs using the Robust Stochastic Approximation…
Quadratic discriminant analysis (QDA) is a widely used method for classification problems, particularly preferable over Linear Discriminant Analysis (LDA) for heterogeneous data. However, QDA loses its effectiveness in high-dimensional…
Linear discriminant analysis (LDA) is a widely used technique for data classification. The method offers adequate performance in many classification problems, but it becomes inefficient when the data covariance matrix is ill-conditioned.…
We consider the paradigm of unsupervised anomaly detection, which involves the identification of anomalies within a dataset in the absence of labeled examples. Though distance-based methods are top-performing for unsupervised anomaly…
Stochastic optimization finds a wide range of applications in operations research and management science. However, existing stochastic optimization techniques usually require the information of random samples (e.g., demands in the…
We design, analyze and test a golden ratio primal-dual algorithm (GRPDA) for solving structured convex optimization problem, where the objective function is the sum of two closed proper convex functions, one of which involves a composition…
We analyze the convergence rate of the random reshuffling (RR) method, which is a randomized first-order incremental algorithm for minimizing a finite sum of convex component functions. RR proceeds in cycles, picking a uniformly random…
Stochastic gradient descent (SGD) has been widely studied in the literature from different angles, and is commonly employed for solving many big data machine learning problems. However, the averaging technique, which combines all iterative…
In this paper, we study communication efficient distributed algorithms for distributionally robust federated learning via periodic averaging with adaptive sampling. In contrast to standard empirical risk minimization, due to the minimax…
This paper proposes an algorithm for solving structured optimization problems, which covers both the backward-backward and the Douglas-Rachford algorithms as special cases, and analyzes its convergence. The set of fixed points of the…
This paper investigates the problems large-scale distributed composite convex optimization, with motivations from a broad range of applications, including multi-agent systems, federated learning, smart grids, wireless sensor networks,…
We study realizable continual linear regression under random task orderings, a common setting for developing continual learning theory. In this setup, the worst-case expected loss after $k$ learning iterations admits a lower bound of…
Regularized linear discriminant analysis (RLDA) is a widely used tool for classification and dimensionality reduction, but its performance in high-dimensional scenarios is inconsistent. Existing theoretical analyses of RLDA often lack clear…
Quadratic and Linear Discriminant Analysis (QDA/LDA) are the most often applied classification rules under normality. In QDA, a separate covariance matrix is estimated for each group. If there are more variables than observations in the…
We propose a modification of linear discriminant analysis, referred to as compressive regularized discriminant analysis (CRDA), for analysis of high-dimensional datasets. CRDA is specially designed for feature elimination purpose and can be…
Adaptive stochastic gradient methods such as AdaGrad have gained popularity in particular for training deep neural networks. The most commonly used and studied variant maintains a diagonal matrix approximation to second order information by…
While nowadays most gradient-based optimization methods focus on exploring the high-dimensional geometric features, the random error accumulated in a stochastic version of any algorithm implementation has not been stressed yet. In this…
Fisher discriminant analysis (FDA) is a widely used method for classification and dimensionality reduction. When the number of predictor variables greatly exceeds the number of observations, one of the alternatives for conventional FDA is…