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Variance reduction has been commonly used in stochastic optimization. It relies crucially on the assumption that the data set is finite. However, when the data are imputed with random noise as in data augmentation, the perturbed data set…
Recent advances in optimization theory have shown that smooth strongly convex finite sums can be minimized faster than by treating them as a black box "batch" problem. In this work we introduce a new method in this class with a theoretical…
We introduce two algorithms for nonconvex regularized finite sum minimization, where typical Lipschitz differentiability assumptions are relaxed to the notion of relative smoothness. The first one is a Bregman extension of Finito/MISO,…
We develop a simple routine unifying the analysis of several important recently-developed stochastic optimization methods including SAGA, Finito, and stochastic dual coordinate ascent (SDCA). First, we show an intrinsic connection between…
For obtaining optimal first-order convergence guarantee for stochastic optimization, it is necessary to use a recurrent data sampling algorithm that samples every data point with sufficient frequency. Most commonly used data sampling…
Recent years have witnessed exciting progress in the study of stochastic variance reduced gradient methods (e.g., SVRG, SAGA), their accelerated variants (e.g, Katyusha) and their extensions in many different settings (e.g., online, sparse,…
The least absolute shrinkage and selection operator (Lasso) is a popular method for high-dimensional statistics. However, it is known that the Lasso often has estimation bias and prediction error. To address such disadvantages, many…
Significant attention has been given to minimizing a penalized least squares criterion for estimating sparse solutions to large linear systems of equations. The penalty is responsible for inducing sparsity and the natural choice is the…
Inverse scattering from discrete targets with the single-input-multiple-output (SIMO), multiple-input-single-output (MISO) or multiple-input-multiple-output (MIMO) measurements is analyzed by compressed sensing theory with and without the…
In exciting new work, Bertsimas et al. (2016) showed that the classical best subset selection problem in regression modeling can be formulated as a mixed integer optimization (MIO) problem. Using recent advances in MIO algorithms, they…
We introduce a stochastic version of the cutting-plane method for a large class of data-driven Mixed-Integer Nonlinear Optimization (MINLO) problems. We show that under very weak assumptions the stochastic algorithm is able to converge to…
Training large-scale neural networks requires solving nonconvex optimization where the choice of optimizer fundamentally determines both convergence behavior and computational efficiency. While adaptive methods like Adam have long dominated…
Recently, multi-objective optimization (MOO) has gained attention for its broad applications in ML, operations research, and engineering. However, MOO algorithm design remains in its infancy and many existing MOO methods suffer from…
When applying a stochastic algorithm, one must choose an order to draw samples. The practical choices are without-replacement sampling orders, which are empirically faster and more cache-friendly than uniform-iid-sampling but often have…
The lasso has become an important practical tool for high dimensional regression as well as the object of intense theoretical investigation. But despite the availability of efficient algorithms, the lasso remains computationally demanding…
We propose a new approach to mixed-frequency regressions in a high-dimensional environment that resorts to Group Lasso penalization and Bayesian techniques for estimation and inference. In particular, to improve the prediction properties of…
The ``fast iterative shrinkage-thresholding algorithm'', a.k.a. FISTA, is one of the most widely used algorithms in the literature. However, despite its optimal theoretical $O(1/k^2)$ convergence rate guarantee, oftentimes in practice its…
The "fast iterative shrinkage-thresholding algorithm", a.k.a. FISTA, is one of the most well-known first-order optimisation scheme in the literature, as it achieves the worst-case $O(1/k^2)$ optimal convergence rate in terms of objective…
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…
Stochastic gradient descent type methods are ubiquitous in machine learning, but they are only applicable to the optimization of differentiable functions. Proximal algorithms are more general and applicable to nonsmooth functions. We…