Related papers: Stochastic Gradient Descent-Ascent and Consensus O…

We investigate the Randomized Stochastic Accelerated Gradient (RSAG) method, utilizing either constant or adaptive step sizes, for stochastic optimization problems with generalized smooth objective functions. Under relaxed affine variance…

Gradient optimization algorithms using epochs, that is those based on stochastic gradient descent without replacement (SGDo), are predominantly used to train machine learning models in practice. However, the mathematical theory of SGDo and…

We establish finite-time last-iterate guarantees for vanilla stochastic gradient descent in co-coercive games under noisy feedback. This is a broad class of games that is more general than strongly monotone games, allows for multiple Nash…

For min-max optimization and variational inequalities problems (VIP) encountered in diverse machine learning tasks, Stochastic Extragradient (SEG) and Stochastic Gradient Descent Ascent (SGDA) have emerged as preeminent algorithms. Constant…

Stochastic bilevel optimization (SBO) has been integrated into many machine learning paradigms recently, including hyperparameter optimization, meta learning, and reinforcement learning. Along with the wide range of applications, there have…

Averaging scheme has attracted extensive attention in deep learning as well as traditional machine learning. It achieves theoretically optimal convergence and also improves the empirical model performance. However, there is still a lack of…

Stochastic compositional optimization generalizes classic (non-compositional) stochastic optimization to the minimization of compositions of functions. Each composition may introduce an additional expectation. The series of expectations may…

Epoch gradient descent method (a.k.a. Epoch-GD) proposed by Hazan and Kale (2011) was deemed a breakthrough for stochastic strongly convex minimization, which achieves the optimal convergence rate of $O(1/T)$ with $T$ iterative updates for…

We study the performance of the gradient play algorithm for stochastic games (SGs), where each agent tries to maximize its own total discounted reward by making decisions independently based on current state information which is shared…

In this paper, we establish new convergence results for the quantized distributed gradient descent and suggest a novel strategy of choosing the stepsizes for the high-performance of the algorithm. Under the strongly convexity assumption on…

Many relevant problems in the area of systems and control, such as controller synthesis, observer design and model reduction, can be viewed as optimization problems involving dynamical systems: for instance, maximizing performance in the…

In this paper, we study the minimax optimization problem in the smooth and strongly convex-strongly concave setting when we have access to noisy estimates of gradients. In particular, we first analyze the stochastic Gradient Descent Ascent…

SGD (Stochastic Gradient Descent) is a popular algorithm for large scale optimization problems due to its low iterative cost. However, SGD can not achieve linear convergence rate as FGD (Full Gradient Descent) because of the inherent…

In this paper, we consider nonconvex minimax optimization, which is gaining prominence in many modern machine learning applications such as GANs. Large-scale edge-based collection of training data in these applications calls for…

Stochastic saddle point (SSP) problems are, in general, less studied compared to stochastic minimization problems. However, SSP problems emerge from machine learning (adversarial training, e.g., GAN, AUC maximization), statistics (robust…

Differentially private stochastic gradient descent (DP-SGD) has become the standard algorithm for training machine learning models with rigorous privacy guarantees. Despite its widespread use, the theoretical understanding of its long-run…

We consider differentiable games where the goal is to find a Nash equilibrium. The machine learning community has recently started using variants of the gradient method (GD). Prime examples are extragradient (EG), the optimistic gradient…

Under mild assumptions stochastic gradient methods asymptotically achieve an optimal rate of convergence if the arithmetic mean of all iterates is returned as an approximate optimal solution. However, in the absence of stochastic noise, the…

We solve the stochastic generalized Nash equilibrium (SGNE) problem in merely monotone games with expected value cost functions. Specifically, we present the first distributed SGNE seeking algorithm for monotone games that requires one…

Stochastic gradient descent (SGD) is a widely used algorithm in machine learning, particularly for neural network training. Recent studies on SGD for canonical quadratic optimization or linear regression show it attains well generalization…