Related papers: Variance Reduced Stochastic Proximal Algorithm for…
Motivated by machine learning applications in networks of sensors, internet-of-things (IoT) devices, and autonomous agents, we propose techniques for distributed stochastic convex learning from high-rate data streams. The setup involves a…
Area under the receiver operating characteristics curve (AUC) is an important metric for a wide range of signal processing and machine learning problems, and scalable methods for optimizing AUC have recently been proposed. However, handling…
This paper introduces a new proximal stochastic gradient method with variance reduction and stabilization for minimizing the sum of a convex stochastic function and a group sparsity-inducing regularization function. Since the method may be…
Sampling methods (e.g., node-wise, layer-wise, or subgraph) has become an indispensable strategy to speed up training large-scale Graph Neural Networks (GNNs). However, existing sampling methods are mostly based on the graph structural…
In this paper we analyze a zeroth-order proximal stochastic gradient method suitable for the minimization of weakly convex stochastic optimization problems. We consider nonsmooth and nonlinear stochastic composite problems, for which…
We consider solving a convex, possibly stochastic optimization problem over a randomly time-varying multi-agent network. Each agent has access to some local objective function, and it only has unbiased estimates of the gradients of the…
In machine learning, nonconvex optimization problems with multiple local optimums are often encountered. Graduated Optimization Algorithm (GOA) is a popular heuristic method to obtain global optimums of nonconvex problems through…
We study a variation of vanilla stochastic gradient descent where the optimizer only has access to a Markovian sampling scheme. These schemes encompass applications that range from decentralized optimization with a random walker (token…
We propose a stochastic conditional gradient method (CGM) for minimizing convex finite-sum objectives formed as a sum of smooth and non-smooth terms. Existing CGM variants for this template either suffer from slow convergence rates, or…
We consider the decentralized optimization problem, where a network of $n$ agents aims to collaboratively minimize the average of their individual smooth and convex objective functions through peer-to-peer communication in a directed graph.…
We propose accelerated randomized coordinate descent algorithms for stochastic optimization and online learning. Our algorithms have significantly less per-iteration complexity than the known accelerated gradient algorithms. The proposed…
In this work we investigate the practicality of stochastic gradient descent and recently introduced variants with variance-reduction techniques in imaging inverse problems. Such algorithms have been shown in the machine learning literature…
We study the generalization error of randomized learning algorithms -- focusing on stochastic gradient descent (SGD) -- using a novel combination of PAC-Bayes and algorithmic stability. Importantly, our generalization bounds hold for all…
In this paper, we propose a stochastic optimization method that adaptively controls the sample size used in the computation of gradient approximations. Unlike other variance reduction techniques that either require additional storage or the…
In this paper, we introduce a new stochastic approximation (SA) type algorithm, namely the randomized stochastic gradient (RSG) method, for solving an important class of nonlinear (possibly nonconvex) stochastic programming (SP) problems.…
This paper explores adaptive variance reduction methods for stochastic optimization based on the STORM technique. Existing adaptive extensions of STORM rely on strong assumptions like bounded gradients and bounded function values, or suffer…
Stochastic AUC maximization has garnered an increasing interest due to better fit to imbalanced data classification. However, existing works are limited to stochastic AUC maximization with a linear predictive model, which restricts its…
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…
Here we study non-convex composite optimization: first, a finite-sum of smooth but non-convex functions, and second, a general function that admits a simple proximal mapping. Most research on stochastic methods for composite optimization…
Alternating Direction Method of Multipliers (ADMM) is a popular method for solving large-scale Machine Learning problems. Stochastic ADMM was proposed to reduce the per iteration computational complexity, which is more suitable for big data…