Related papers: Solving Stochastic Compositional Optimization is N…

Stochastic mirror descent (SMD) is a fairly new family of algorithms that has recently found a wide range of applications in optimization, machine learning, and control. It can be considered a generalization of the classical stochastic…

We propose a stochastic optimization method for minimizing loss functions, expressed as an expected value, that adaptively controls the batch size used in the computation of gradient approximations and the step size used to move along such…

Stochastic gradient algorithms have been the main focus of large-scale learning problems and they led to important successes in machine learning. The convergence of SGD depends on the careful choice of learning rate and the amount of the…

We study the stochastic optimization of canonical correlation analysis (CCA), whose objective is nonconvex and does not decouple over training samples. Although several stochastic gradient based optimization algorithms have been recently…

We systematically develop a learning-based treatment of stochastic optimal control (SOC), relying on direct optimization of parametric control policies. We propose a derivation of adjoint sensitivity results for stochastic differential…

Stochastic Computing (SC) is a computing paradigm that allows for the low-cost and low-power computation of various arithmetic operations using stochastic bit streams and digital logic. In contrast to conventional representation schemes…

Stochastic gradient descent (SGD) is a popular and efficient method with wide applications in training deep neural nets and other nonconvex models. While the behavior of SGD is well understood in the convex learning setting, the existing…

In this paper we propose a compositional framework for the construction of approximations of the interconnection of a class of stochastic hybrid systems. As special cases, this class of systems includes both jump linear stochastic systems…

Stochastic gradient descent (SGD) is a popular stochastic optimization method in machine learning. Traditional parallel SGD algorithms, e.g., SimuParallel SGD, often require all nodes to have the same performance or to consume equal…

Composition optimization is widely-applied in nonconvex machine learning. Various advanced stochastic algorithms that adopt momentum and variance reduction techniques have been developed for composition optimization. However, these…

Stochastic gradient descent (SGD) is one of the most popular algorithms in modern machine learning. The noise encountered in these applications is different from that in many theoretical analyses of stochastic gradient algorithms. In this…

A sequential quadratic optimization algorithm is proposed for solving smooth nonlinear equality constrained optimization problems in which the objective function is defined by an expectation of a stochastic function. The algorithmic…

In this paper, we present a new stochastic algorithm, namely the stochastic block mirror descent (SBMD) method for solving large-scale nonsmooth and stochastic optimization problems. The basic idea of this algorithm is to incorporate the…

Choosing the optimization algorithm that performs best on a given machine learning problem is often delicate, and there is no guarantee that current state-of-the-art algorithms will perform well across all tasks. Consequently, the more…

In this work, we present a globalized stochastic semismooth Newton method for solving stochastic optimization problems involving smooth nonconvex and nonsmooth convex terms in the objective function. We assume that only noisy gradient and…

In this paper, we revisit \textsf{ROOT-SGD}, an innovative method for stochastic optimization to bridge the gap between stochastic optimization and statistical efficiency. The proposed method enhances the performance and reliability of…

In large-scale time series forecasting, one often encounters the situation where the temporal patterns of time series, while drifting over time, differ from one another in the same dataset. In this paper, we provably show under such…

We introduce a doubly stochastic proximal gradient algorithm for optimizing a finite average of smooth convex functions, whose gradients depend on numerically expensive expectations. Our main motivation is the acceleration of the…

Although stochastic gradient descent (SGD) method and its variants (e.g., stochastic momentum methods, AdaGrad) are the choice of algorithms for solving non-convex problems (especially deep learning), there still remain big gaps between the…

Stochastic gradient methods are dominant in nonconvex optimization especially for deep models but have low asymptotical convergence due to the fixed smoothness. To address this problem, we propose a simple yet effective method for improving…