Related papers: Almost Tune-Free Variance Reduction

Sharpness-Aware Minimization (SAM) has emerged as a powerful method for improving generalization in machine learning models by minimizing the sharpness of the loss landscape. However, despite its success, several important questions…

Under losses which are potentially heavy-tailed, we consider the task of minimizing sums of the loss mean and standard deviation, without trying to accurately estimate the variance. By modifying a technique for variance-free robust mean…

Stochastic variance reduced optimization methods are known to be globally convergent while they suffer from slow local convergence, especially when moderate or high accuracy is needed. To alleviate this problem, we propose an optimization…

Recent advances in deep reinforcement learning have achieved human-level performance on a variety of real-world applications. However, the current algorithms still suffer from poor gradient estimation with excessive variance, resulting in…

In this paper, we propose a simple variant of the original stochastic variance reduction gradient (SVRG), where hereafter we refer to as the variance reduced stochastic gradient descent (VR-SGD). Different from the choices of the snapshot…

We develop two novel stochastic variance-reduction methods to approximate solutions of a class of nonmonotone [generalized] equations. Our algorithms leverage a new combination of ideas from the forward-reflected-backward splitting method…

We revisit the stochastic variance-reduced policy gradient (SVRPG) method proposed by Papini et al. (2018) for reinforcement learning. We provide an improved convergence analysis of SVRPG and show that it can find an $\epsilon$-approximate…

Policy gradient (PG) gives rise to a rich class of reinforcement learning (RL) methods. Recently, there has been an emerging trend to accelerate the existing PG methods such as REINFORCE by the \emph{variance reduction} techniques. However,…

This paper extends the idea of decoupling shrinkage and sparsity for continuous priors to Bayesian Quantile Regression (BQR). The procedure follows two steps: In the first step, we shrink the quantile regression posterior through state of…

In this paper, we establish the convergence of the stochastic Heavy Ball (SHB) algorithm under more general conditions than in the current literature. Specifically, (i) The stochastic gradient is permitted to be biased, and also, to have…

Regularized risk minimization with the binary hinge loss and its variants lies at the heart of many machine learning problems. Bundle methods for regularized risk minimization (BMRM) and the closely related SVMStruct are considered the best…

Stochastic gradient algorithms estimate the gradient based on only one or a few samples and enjoy low computational cost per iteration. They have been widely used in large-scale optimization problems. However, stochastic gradient algorithms…

Motivated by the prominence of Conditional Value-at-Risk (CVaR) as a measure for tail risk in settings affected by uncertainty, we develop a new formula for approximating CVaR based optimization objectives and their gradients from limited…

Block coordinate descent methods and stochastic subgradient methods have been extensively studied in optimization and machine learning. By combining randomized block sampling with stochastic subgradient methods based on dual averaging, we…

In this paper, we address the challenge of sampling in scenarios where limited resources prevent exhaustive measurement across all subjects. We consider a setting where samples are drawn from multiple groups, each following a distribution…

We consider constrained optimization problems with a nonsmooth objective function in the form of mathematical expectation. The Sample Average Approximation (SAA) is used to estimate the objective function and variable sample size strategy…

In numerous applications, surrogate models are used as a replacement for accurate parameter-to-observable mappings when solving large-scale inverse problems governed by partial differential equations (PDEs). The surrogate model may be a…

Randomized benchmarking (RB) is a widely used method for estimating the average fidelity of gates implemented on a quantum computing device. The stochastic error of the average gate fidelity estimated by RB depends on the sampling strategy…

Response-adaptive randomization (RAR) has been studied extensively in conventional, single-stage clinical trials, where it has been shown to yield ethical and statistical benefits, especially in trials with many treatment arms. However, RAR…

An algorithm framework is proposed for minimizing nonsmooth functions. The framework is variable-metric in that, in each iteration, a step is computed using a symmetric positive definite matrix whose value is updated as in a quasi-Newton…