Related papers: Distributed Saddle-Point Problems: Lower Bounds, N…
We present a distributionally robust formulation of a stochastic optimization problem for non-i.i.d vector autoregressive data. We use the Wasserstein distance to define robustness in the space of distributions and we show, using duality…
Distributed stochastic gradient descent (SGD) is essential for scaling the machine learning algorithms to a large number of computing nodes. However, the infrastructures variability such as high communication delay or random node slowdown…
Distributed optimization advances centralized machine learning methods by enabling parallel and decentralized learning processes over a network of computing nodes. This work provides an accelerated consensus-based distributed algorithm for…
This paper proposes novel algorithm for non-convex multimodal constrained optimisation problems. It is based on sequential solving restrictions of problem to sections of feasible set by random subspaces (in general, manifolds) of low…
We propose stochastic variance reduced algorithms for solving convex-concave saddle point problems, monotone variational inequalities, and monotone inclusions. Our framework applies to extragradient, forward-backward-forward, and…
We consider a stochastic convex optimization problem that requires minimizing a sum of misspecified agentspecific expectation-valued convex functions over the intersection of a collection of agent-specific convex sets. This misspecification…
Decentralized optimization is a promising parallel computation paradigm for large-scale data analytics and machine learning problems defined over a network of nodes. This paper is concerned with decentralized non-convex composite problems…
This paper proposes distributed algorithms to solve robust convex optimization (RCO) when the constraints are affected by nonlinear uncertainty. We adopt a scenario approach by randomly sampling the uncertainty set. To facilitate the…
We study finite-time performance of a recently proposed distributed dual subgradient (DDSG) method for convex constrained multi-agent optimization problems. The algorithm enjoys performance guarantees on the last primal iterate, as opposed…
We develop a distributed algorithm for convex Empirical Risk Minimization, the problem of minimizing large but finite sum of convex functions over networks. The proposed algorithm is derived from directly discretizing the second-order…
The purpose of this paper is to introduce two new classes of accelerated distributed proximal conjugate gradient algorithms for multi-agent constrained optimization problems; given as minimization of a function decomposed as a sum of M…
In this paper, we consider the nonsmooth convex optimization problems over the fixed point constraint sets of firmly nonexpansive operators. To find an optimal solution of the problem, we present an iterative method based on the hybrid…
Stochastic gradient descent (SGD) is perhaps the most prevalent optimization method in modern machine learning. Contrary to the empirical practice of sampling from the datasets without replacement and with (possible) reshuffling at each…
Distributed optimization, where the computations are performed in a localized and coordinated manner using multiple agents, is a promising approach for solving large-scale optimization problems, e.g., those arising in model predictive…
We propose a stochastic extension of the primal-dual hybrid gradient algorithm studied by Chambolle and Pock in 2011 to solve saddle point problems that are separable in the dual variable. The analysis is carried out for general…
Gradient descent (GD) and stochastic gradient descent (SGD) are the workhorses of large-scale machine learning. While classical theory focused on analyzing the performance of these methods in convex optimization problems, the most notable…
We consider a generic convex-concave saddle point problem with separable structure, a form that covers a wide-ranged machine learning applications. Under this problem structure, we follow the framework of primal-dual updates for saddle…
This paper proposes a new framework for distributed optimization, called distributed aggregative optimization, which allows local objective functions to be dependent not only on their own decision variables, but also on the average of…
Optimization in distributed networks plays a central role in almost all distributed machine learning problems. In principle, the use of distributed task allocation has reduced the computational time, allowing better response rates and…
The distributed setting for Saddle Problems (SPs) has recently emerged as a framework for various modern applications in machine learning and multiagent systems. Despite its relevance, the theoretical foundations of this setting have not…