Related papers: SGD with shuffling: optimal rates without componen…
Low-rank and nonsmooth matrix optimization problems capture many fundamental tasks in statistics and machine learning. While significant progress has been made in recent years in developing efficient methods for \textit{smooth} low-rank…
Singular value decomposition (SVD) and matrix inversion are ubiquitous in scientific computing. Both tasks are computationally demanding for large scale matrices. Existing algorithms can approximatively solve these problems with a given…
This paper studies first order methods for solving smooth minimax optimization problems $\min_x \max_y g(x,y)$ where $g(\cdot,\cdot)$ is smooth and $g(x,\cdot)$ is concave for each $x$. In terms of $g(\cdot,y)$, we consider two settings --…
In real-world applications, it is important for machine learning algorithms to be robust against data outliers or corruptions. In this paper, we focus on improving the robustness of a large class of learning algorithms that are formulated…
We propose a decomposition framework for the parallel optimization of the sum of a differentiable {(possibly nonconvex)} function and a nonsmooth (possibly nonseparable), convex one. The latter term is usually employed to enforce structure…
In this paper, we introduce an unbiased gradient simulation algorithms for solving convex optimization problem with stochastic function compositions. We show that the unbiased gradient generated from the algorithm has finite variance and…
We study stochastic convex optimization under infinite noise variance. Specifically, when the stochastic gradient is unbiased and has uniformly bounded $(1+\kappa)$-th moment, for some $\kappa \in (0,1]$, we quantify the convergence rate of…
Consider the problem of minimizing the expected value of a (possibly nonconvex) cost function parameterized by a random (vector) variable, when the expectation cannot be computed accurately (e.g., because the statistics of the random…
We develop an algorithm for parameter-free stochastic convex optimization (SCO) whose rate of convergence is only a double-logarithmic factor larger than the optimal rate for the corresponding known-parameter setting. In contrast, the best…
We consider stochastic convex optimization problems where the objective is an expectation over smooth functions. For this setting we suggest a novel gradient estimate that combines two recent mechanism that are related to notion of…
Despite the strong theoretical guarantees that variance-reduced finite-sum optimization algorithms enjoy, their applicability remains limited to cases where the memory overhead they introduce (SAG/SAGA), or the periodic full gradient…
In this work we consider the stochastic minimization of nonsmooth convex loss functions, a central problem in machine learning. We propose a novel algorithm called Accelerated Nonsmooth Stochastic Gradient Descent (ANSGD), which exploits…
Although SGD with random reshuffle has been widely-used in machine learning applications, there is a limited understanding of how model characteristics affect the convergence of the algorithm. In this work, we introduce model incoherence to…
Gradient-based first-order convex optimization algorithms find widespread applicability in a variety of domains, including machine learning tasks. Motivated by the recent advances in fixed-time stability theory of continuous-time dynamical…
This paper considers a class of constrained stochastic composite optimization problems whose objective function is given by the summation of a differentiable (possibly nonconvex) component, together with a certain non-differentiable (but…
Stochastic gradient descent (SGD) is a workhorse algorithm for solving large-scale optimization problems in data science and machine learning. Understanding the convergence of SGD is hence of fundamental importance. In this work we examine…
In this paper we revisit the DP stochastic convex optimization (SCO) problem. For convex smooth losses, it is well-known that the canonical DP-SGD (stochastic gradient descent) achieves the optimal rate of $O\left(\frac{LR}{\sqrt{n}} +…
Linear-time algorithms that are traditionally used to shuffle data on CPUs, such as the method of Fisher-Yates, are not well suited to implementation on GPUs due to inherent sequential dependencies, and existing parallel shuffling…
The shuffled linear regression problem aims to recover linear relationships in datasets where the correspondence between input and output is unknown. This problem arises in a wide range of applications including survey data, in which one…
We study stochastic gradient descent {\em without replacement} (\sgdwor) for smooth convex functions. \sgdwor is widely observed to converge faster than true \sgd where each sample is drawn independently {\em with replacement}…