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We consider convex-concave saddle-point problems where the objective functions may be split in many components, and extend recent stochastic variance reduction methods (such as SVRG or SAGA) to provide the first large-scale linearly…
The goal of the paper is development of an optimization method with the superlinear convergence rate for a nonsmooth convex function. For optimization an approximation is used that is similar to the Steklov integral averaging. The…
In this paper, we study a class of fractional semi-infinite polynomial programming problems involving s.o.s-convex polynomial functions. For such a problem, by a conic reformulation proposed in our previous work and the quadratic modules…
We develop and analyze a set of new sequential simulation-optimization algorithms for large-scale multi-dimensional discrete optimization via simulation problems with a convexity structure. The "large-scale" notion refers to that the…
The choice of the stepsize in first-order convex optimization is typically based on the smoothness constant and plays a crucial role in the performance of algorithms. Recently, there has been a resurgent interest in introducing adaptive…
Stochastic differentiable approximation schemes are widely used for solving high dimensional problems. Most of existing methods satisfy some desirable properties, including conditional descent inequalities, and almost sure (a.s.)…
We study nonlinear optimization problems with a stochastic objective and deterministic equality and inequality constraints, which emerge in numerous applications including finance, manufacturing, power systems and, recently, deep neural…
We consider solving equality-constrained nonlinear, nonconvex optimization problems. This class of problems appears widely in a variety of applications in machine learning and engineering, ranging from constrained deep neural networks, to…
We develop a novel primal-dual algorithm to solve a class of nonsmooth and nonlinear compositional convex minimization problems, which covers many existing and brand-new models as special cases. Our approach relies on a combination of a new…
In this paper, we propose a single-loop stochastic gradient algorithm for solving stochastic nonconvex-concave minimax optimization with nonlinear convex coupled constraints (MCC). The proposed method, SPACO (Stochastic Penalty-based…
We consider a non-convex constrained Lagrangian formulation of a fundamental bi-criteria optimization problem for variable selection in statistical learning; the two criteria are a smooth (possibly) nonconvex loss function, measuring the…
We study online statistical inference for the solutions of stochastic optimization problems with equality and inequality constraints. Such problems are prevalent in statistics and machine learning, encompassing constrained $M$-estimation,…
Sparse high dimensional graphical model selection is a popular topic in contemporary machine learning. To this end, various useful approaches have been proposed in the context of $\ell_1$-penalized estimation in the Gaussian framework.…
Langevin algorithms are gradient descent methods with additive noise. They have been used for decades in Markov chain Monte Carlo (MCMC) sampling, optimization, and learning. Their convergence properties for unconstrained non-convex…
Clustering is a fundamental problem in unsupervised learning. Popular methods like K-means, may suffer from poor performance as they are prone to get stuck in its local minima. Recently, the sum-of-norms (SON) model (also known as the…
We study fundamental limits of first-order stochastic optimization in a range of nonconvex settings, including L-smooth functions satisfying Quasar-Convexity (QC), Quadratic Growth (QG), and Restricted Secant Inequalities (RSI). While the…
This paper is concerned with a class of nonmonotone descent methods for minimizing a proper lower semicontinuous KL function $\Phi$, which generates a sequence satisfying a nonmonotone decrease condition and a relative error tolerance.…
In this paper we consider a nonconvex optimization problem with nonlinear equality constraints. We assume that both, the objective function and the functional constraints, are locally smooth. For solving this problem, we propose a…
This paper proposes a new family of algorithms for training neural networks (NNs). These are based on recent developments in the field of non-convex optimization, going under the general name of successive convex approximation (SCA)…
We introduce and analyze Structured Stochastic Zeroth order Descent (S-SZD), a finite difference approach that approximates a stochastic gradient on a set of $l\leq d$ orthogonal directions, where $d$ is the dimension of the ambient space.…