Related papers: A Proximal-Point Algorithm with Variable Sample-si…

In this paper, we consider the monotone generalized variational inequality (MGVI) where the monotone operator is Lipschitz continuous. Inspired by the extragradient method and the projection contraction algorithms for monotone variational…

This paper delves into stochastic optimization problems that involve Markovian noise. We present a unified approach for the theoretical analysis of first-order gradient methods for stochastic optimization and variational inequalities. Our…

Equivalence of convex optimization, saddle-point problems, and variational inequalities is a well-established concept. The variational inequality (VI) is a static problem which is studied under dynamical settings using a framework called…

Approximate Bayesian Computation (ABC) is a framework for performing likelihood-free posterior inference for simulation models. Stochastic Variational inference (SVI) is an appealing alternative to the inefficient sampling approaches…

A practical challenge for structural estimation is the requirement to accurately minimize a sample objective function which is often non-smooth, non-convex, or both. This paper proposes a simple algorithm designed to find accurate solutions…

We present an algorithm to sample stochastic differential equations conditioned on rather general constraints, including integral constraints, endpoint constraints, and stochastic integral constraints. The algorithm is a pathspace…

This paper studies the joint support recovery of similar sparse vectors on the basis of a limited number of noisy linear measurements, i.e., in a multiple measurement vector (MMV) model. The additive noise signals on each measurement vector…

We propose an inexact variable-metric proximal point algorithm to accelerate gradient-based optimization algorithms. The proposed scheme, called QNing can be notably applied to incremental first-order methods such as the stochastic…

We propose smoothed primal-dual algorithms for solving stochastic and smooth nonconvex optimization problems with linear inequality constraints. Our algorithms are single-loop and only require a single stochastic gradient based on one…

This paper is devoted to proving the strong averaging principle for slow-fast stochastic partial differential equations with locally monotone coefficients, where the slow component is a stochastic partial differential equations with locally…

Learning representation from relative similarity comparisons, often called ordinal embedding, gains rising attention in recent years. Most of the existing methods are based on semi-definite programming (\textit{SDP}), which is generally…

This paper considers stochastic optimization problems for a large class of objective functions, including convex and continuous submodular. Stochastic proximal gradient methods have been widely used to solve such problems; however, their…

The paper considers distributed stochastic optimization over randomly switching networks, where agents collaboratively minimize the average of all agents' local expectation-valued convex cost functions. Due to the stochasticity in gradient…

We consider a class of hierarchical noncooperative $N$-player games where the $i$th player solves a parametrized stochastic mathematical program with equilibrium constraints (MPEC) with the caveat that the implicit form of the $i$th…

In this work, a Bayesian approximate message passing algorithm is proposed for solving the multiple measurement vector (MMV) problem in compressive sensing, in which a collection of sparse signal vectors that share a common support are…

This paper addresses the task of estimating a covariance matrix under a patternless sparsity assumption. In contrast to existing approaches based on thresholding or shrinkage penalties, we propose a likelihood-based method that regularizes…

In the literature, there are a few researches to design some parameters in the Proximal Point Algorithm (PPA), especially for the multi-objective convex optimizations. Introducing some parameters to PPA can make it more flexible and…

Sparse representation of a single measurement vector (SMV) has been explored in a variety of compressive sensing applications. Recently, SMV models have been extended to solve multiple measurement vectors (MMV) problems, where the…

Quasi-Newton methods are widely used in practise for convex loss minimization problems. These methods exhibit good empirical performance on a wide variety of tasks and enjoy super-linear convergence to the optimal solution. For large-scale…

This paper aims to investigate the distributed stochastic optimization problems on compact embedded submanifolds (in the Euclidean space) for multi-agent network systems. To address the manifold structure, we propose a distributed…