Related papers: Stochastic Proximal Methods for Non-Smooth Non-Con…
This note studies the distributed non-convex optimization problem with non-smooth regularization, which has wide applications in decentralized learning, estimation and control. The objective function is the sum of different local objective…
We study a class of non-convex and non-smooth problems with \textit{rank} regularization to promote sparsity in optimal solution. We propose to apply the proximal gradient descent method to solve the problem and accelerate the process with…
Distributed consensus optimization has received considerable attention in recent years; several distributed consensus-based algorithms have been proposed for (nonsmooth) convex and (smooth) nonconvex objective functions. However, the…
A number of optimization approaches have been proposed for optimizing nonconvex objectives (e.g. deep learning models), such as batch gradient descent, stochastic gradient descent and stochastic variance reduced gradient descent. Theory…
For minimizing a strongly convex objective function subject to linear inequality constraints, we consider a penalty approach that allows one to utilize stochastic methods for problems with a large number of constraints and/or objective…
Under mild assumptions stochastic gradient methods asymptotically achieve an optimal rate of convergence if the arithmetic mean of all iterates is returned as an approximate optimal solution. However, in the absence of stochastic noise, the…
A very popular approach for solving stochastic optimization problems is the stochastic gradient descent method (SGD). Although the SGD iteration is computationally cheap and the practical performance of this method may be satisfactory under…
We propose a stochastic variance reduced optimization algorithm for solving sparse learning problems with cardinality constraints. Sufficient conditions are provided, under which the proposed algorithm enjoys strong linear convergence…
We present new algorithms for optimizing non-smooth, non-convex stochastic objectives based on a novel analysis technique. This improves the current best-known complexity for finding a $(\delta,\epsilon)$-stationary point from…
We propose a novel stochastic smoothing accelerated gradient (SSAG) method for general constrained nonsmooth convex composite optimization, and analyze the convergence rates. The SSAG method allows various smoothing techniques, and can deal…
Nonsmooth sparsity constrained optimization encompasses a broad spectrum of applications in machine learning. This problem is generally non-convex and NP-hard. Existing solutions to this problem exhibit several notable limitations,…
We propose a general formulation of nonconvex and nonsmooth sparse optimization problems with convex set constraint, which can take into account most existing types of nonconvex sparsity-inducing terms, bringing strong applicability to a…
We study nonconvex finite-sum problems and analyze stochastic variance reduced gradient (SVRG) methods for them. SVRG and related methods have recently surged into prominence for convex optimization given their edge over stochastic gradient…
The proximal gradient algorithm has been popularly used for convex optimization. Recently, it has also been extended for nonconvex problems, and the current state-of-the-art is the nonmonotone accelerated proximal gradient algorithm.…
Nonconvex and nonsmooth optimization problems are frequently encountered in much of statistics, business, science and engineering, but they are not yet widely recognized as a technology in the sense of scalability. A reason for this…
In this paper we analyze several new methods for solving nonconvex optimization problems with the objective function formed as a sum of two terms: one is nonconvex and smooth, and another is convex but simple and its structure is known.…
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…
We consider a distributionally robust formulation of stochastic optimization problems arising in statistical learning, where robustness is with respect to uncertainty in the underlying data distribution. Our formulation builds on…
We propose an adaptive proximal gradient method for minimizing the sum of two functions, where one is a simple convex function, and the other belongs to one of the three classes: nonconvex smooth, convex nonsmooth, or convex smooth. The key…
We introduce a new approach to develop stochastic optimization algorithms for a class of stochastic composite and possibly nonconvex optimization problems. The main idea is to combine two stochastic estimators to create a new hybrid one. We…