Related papers: Theoretical Study and Comparison of SPSA and RDSA …

The paper deals with stochastic difference-of-convex functions (DC) programs, that is, optimization problems whose the cost function is a sum of a lower semicontinuous DC function and the expectation of a stochastic DC function with respect…

In this paper we extend the parametric sensitivity analysis (SA) methodology proposed in Ref. [Y. Pantazis and M. A. Katsoulakis, J. Chem. Phys. 138, 054115 (2013)] to continuous time and continuous space Markov processes represented by…

We consider convex-concave saddle-point problems where the objective functions may be split in many components, and extend recent stochastic variance reduction methods (such as SVRG or SAGA) to provide the first large-scale linearly…

Distributionally robust stochastic optimization (DRSO) is an approach to optimization under uncertainty in which, instead of assuming that there is a known true underlying probability distribution, one hedges against a chosen set of…

This paper presents an investigation of two search techniques, tabu search (TS) and simulated annealing (SA), to assess their relative merits when applied to engineering design optimisation. Design optimisation problems are generally…

This paper presents a finite time convergence analysis for a decentralized stochastic approximation (SA) scheme. The scheme generalizes several algorithms for decentralized machine learning and multi-agent reinforcement learning. Our proof…

In this paper, we study the following robust optimization problem. Given an independence system and candidate objective functions, we choose an independent set, and then an adversary chooses one objective function, knowing our choice. Our…

We study constrained nested stochastic optimization problems in which the objective function is a composition of two smooth functions whose exact values and derivatives are not available. We propose a single time-scale stochastic…

Two-time-scale Stochastic Approximation (SA) is an iterative algorithm with applications in reinforcement learning and optimization. Prior finite time analysis of such algorithms has focused on fixed point iterations with mappings…

In this paper, we study randomized methods for feedback design of uncertain systems. The first contribution is to derive the sample complexity of various constrained control problems. In particular, we show the key role played by the…

We develop a first-order (pseudo-)gradient approach for optimizing functions over the stationary distribution of discrete-time Markov chains (DTMC). We give insights into why solving this optimization problem is challenging and show how…

This paper focuses on stochastic proximal gradient methods for optimizing a smooth non-convex loss function with a non-smooth non-convex regularizer and convex constraints. To the best of our knowledge we present the first non-asymptotic…

Stochastic principal component analysis (SPCA) has become a popular dimensionality reduction strategy for large, high-dimensional datasets. We derive a simplified algorithm, called Lazy SPCA, which has reduced computational complexity and…

This article compares four probabilistic algorithms (global algorithms) for Word Sense Disambiguation (WSD) in terms of the number of scorer calls (local algo- rithm) and the F1 score as determined by a gold-standard scorer. Two algorithms…

Gradient-based (a.k.a. `first order') optimization algorithms are routinely used to solve large scale non-convex problems. Yet, it is generally hard to predict their effectiveness. In order to gain insight into this question, we revisit the…

In this paper, we propose a distributed stochastic second-order proximal method that enables agents in a network to cooperatively minimize the sum of their local loss functions without any centralized coordination. The proposed algorithm,…

This paper develops a unified framework, based on iterated random operator theory, to analyze the convergence of constant stepsize recursive stochastic algorithms (RSAs). RSAs use randomization to efficiently compute expectations, and so…

We propose a statistical adaptive procedure called SALSA for automatically scheduling the learning rate (step size) in stochastic gradient methods. SALSA first uses a smoothed stochastic line-search procedure to gradually increase the…

Our topic is performance differences between using random and chaos for particle swarm optimization (PSO). We take random sequences with different probability distributions and compare them to chaotic sequences with different but also with…

In this paper, we introduce a new approach to proving the convergence of the Stochastic Approximation (SA) and the Stochastic Gradient Descent (SGD) algorithms. The new approach is based on a concept called GSLLN (Generalized Strong Law of…