Related papers: Adaptive Importance Sampling for Finite-Sum Optimi…
Modern stochastic optimization methods often rely on uniform sampling which is agnostic to the underlying characteristics of the data. This might degrade the convergence by yielding estimates that suffer from a high variance. A possible…
We introduce an adaptive sampling method for the Deep Ritz method aimed at solving partial differential equations (PDEs). Two deep neural networks are used. One network is employed to approximate the solution of PDEs, while the other one is…
Covariate adjustment is a ubiquitous method used to estimate the average treatment effect (ATE) from observational data. Assuming a known graphical structure of the data generating model, recent results give graphical criteria for optimal…
We propose an optimization method for minimizing the finite sums of smooth convex functions. Our method incorporates an accelerated gradient descent (AGD) and a stochastic variance reduction gradient (SVRG) in a mini-batch setting. Unlike…
Spike and slab priors play a key role in inducing sparsity for sparse signal recovery. The use of such priors results in hard non-convex and mixed integer programming problems. Most of the existing algorithms to solve the optimization…
Stochastic variance reduction has proven effective at accelerating first-order algorithms for solving convex finite-sum optimization tasks such as empirical risk minimization. Incorporating second-order information has proven helpful in…
In this paper, we consider the problem of online learning of Markov decision processes (MDPs) with very large state spaces. Under the assumptions of realizable function approximation and low Bellman ranks, we develop an online learning…
Stochastic Gradient Descent (SGD) is one of the most widely used techniques for online optimization in machine learning. In this work, we accelerate SGD by adaptively learning how to sample the most useful training examples at each time…
Motivated by learning of correlated equilibria in non-cooperative games, we perform a large deviations analysis of a regret minimizing stochastic approximation algorithm. The regret minimization algorithm we consider comprises multiple…
Adaptive gradient algorithms such as ADAGRAD and its variants have gained popularity in the training of deep neural networks. While many works as for adaptive methods have focused on the static regret as a performance metric to achieve a…
Nowadays, online learning is an appealing learning paradigm, which is of great interest in practice due to the recent emergence of large scale applications such as online advertising placement and online web ranking. Standard online…
To deal with changing environments, a new performance measure -- adaptive regret, defined as the maximum static regret over any interval, was proposed in online learning. Under the setting of online convex optimization, several algorithms…
In this paper we study the non-stationary stochastic optimization question with bandit feedback and dynamic regret measures. The seminal work of Besbes et al. (2015) shows that, when aggregated function changes is known a priori, a simple…
We study distributed optimization algorithms for minimizing the average of \emph{heterogeneous} functions distributed across several machines with a focus on communication efficiency. In such settings, naively using the classical stochastic…
Online reinforcement learning in infinite-horizon Markov decision processes (MDPs) remains less theoretically and algorithmically developed than its episodic counterpart, with many algorithms suffering from high ``burn-in'' costs and…
The motivation for this paper stems from the desire to develop an adaptive sampling method for solving constrained optimization problems in which the objective function is stochastic and the constraints are deterministic. The method…
We propose a novel adaptive importance sampling algorithm which incorporates Stein variational gradient decent algorithm (SVGD) with importance sampling (IS). Our algorithm leverages the nonparametric transforms in SVGD to iteratively…
We investigate the convergence rates and data sample sizes required for training a machine learning model using a stochastic gradient descent (SGD) algorithm, where data points are sampled based on either their loss value or uncertainty…
Here we develop variants of SGD (stochastic gradient descent) with an adaptive step size that make use of the sampled loss values. In particular, we focus on solving a finite sum-of-terms problem, also known as empirical risk minimization.…
We present adaptive gradient methods (both basic and accelerated) for solving convex composite optimization problems in which the main part is approximately smooth (a.k.a. $(\delta, L)$-smooth) and can be accessed only via a (potentially…