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The classical approach to system identification is based on stochastic assumptions about the measurement error, and provides estimates that have random nature. Worst-case identification, on the other hand, only assumes the knowledge of…
Robust optimization (RO) has emerged as one of the leading paradigms to efficiently model parameter uncertainty. The recent connections between RO and problems in statistics and machine learning domains demand for solving RO problems in…
This paper is devoted to the analysis of worst case complexity bounds for linesearch-type derivative-free algorithms for the minimization of general non-convex smooth functions. We prove that two linesearch-type algorithms enjoy the same…
Consider the problem of minimizing an expected logarithmic loss over either the probability simplex or the set of quantum density matrices. This problem includes tasks such as solving the Poisson inverse problem, computing the…
In the online multiple knapsack problem, an algorithm faces a stream of items, and each item has to be either rejected or stored irrevocably in one of $n$ bins (knapsacks) of equal size. The gain of an~algorithm is equal to the sum of sizes…
In this paper, we propose a class of penalty methods with stochastic approximation for solving stochastic nonlinear programming problems. We assume that only noisy gradients or function values of the objective function are available via…
In this paper, we study the fundamental open question of finding the optimal high-order algorithm for solving smooth convex minimization problems. Arjevani et al. (2019) established the lower bound $\Omega\left(\epsilon^{-2/(3p+1)}\right)$…
Zeroth-order optimization aims to minimize an objective function using only function evaluations, and is therefore fundamental in black-box optimization, hyperparameter tuning, bandit learning, and adversarial machine learning. While…
Finite-sum optimization problems are ubiquitous in machine learning, and are commonly solved using first-order methods which rely on gradient computations. Recently, there has been growing interest in \emph{second-order} methods, which rely…
This paper presents a new exact method to calculate worst-case parameter realizations in two-stage robust optimization problems with categorical or binary-valued uncertain data. Traditional exact algorithms for these problems, notably…
Multi-task learning (MTL) has emerged as a pivotal paradigm in machine learning by leveraging shared structures across multiple related tasks. Despite its empirical success, the development of likelihood-based efficiently solvable…
Proximal operations are among the most common primitives appearing in both practical and theoretical (or high-level) optimization methods. This basic operation typically consists in solving an intermediary (hopefully simpler) optimization…
Differentially private (stochastic) gradient descent is the workhorse of DP private machine learning in both the convex and non-convex settings. Without privacy constraints, second-order methods, like Newton's method, converge faster than…
This paper offers a matrix-free first-order numerical method to solve large-scale conic optimization problems. Solving systems of linear equations pose the most computationally challenging part in both first-order and second-order numerical…
Binary search finds a given element in a sorted array with an optimal number of $\log n$ queries. However, binary search fails even when the array is only slightly disordered or access to its elements is subject to errors. We study the…
Coresets are one of the central methods to facilitate the analysis of large data sets. We continue a recent line of research applying the theory of coresets to logistic regression. First, we show a negative result, namely, that no strongly…
Threshold methods are popular for ordinal regression problems, which are classification problems for data with a natural ordinal relation. They learn a one-dimensional transformation (1DT) of observations of the explanatory variable, and…
Logistic models are studied as a tool to convert output from numerical weather forecasting systems (deterministic and ensemble) into probability forecasts for binary events. A logistic model obtains by putting the logarithmic odds ratio…
Wasserstein distance-based distributionally robust optimization (DRO) has received much attention lately due to its ability to provide a robustness interpretation of various learning models. Moreover, many of the DRO problems that arise in…
This paper focuses on regularisation methods using models up to the third order to search for up to second-order critical points of a finite-sum minimisation problem. The variant presented belongs to the framework of [3]: it employs random…