Related papers: Fast and numerically stable particle-based online …

Asynchronous algorithms have attracted much attention recently due to the crucial demands on solving large-scale optimization problems. However, the accelerated versions of asynchronous algorithms are rarely studied. In this paper, we…

We present approximate algorithms for performing smoothing in a class of high-dimensional state-space models via sequential Monte Carlo methods ("particle filters"). In high dimensions, a prohibitively large number of Monte Carlo samples…

We develop an Accelerated Back Pressure (ABP) algorithm using Accelerated Dual Descent (ADD), a distributed approximate Newton-like algorithm that only uses local information. Our construction is based on writing the backpressure algorithm…

We propose AdaDS, a generalizable framework for depth super-resolution that robustly recovers high-resolution depth maps from arbitrarily degraded low-resolution inputs. Unlike conventional approaches that directly regress depth values and…

We propose a novel and robust online function-on-scalar regression technique via geometric median to learn associations between functional responses and scalar covariates based on massive or streaming datasets. The online estimation…

We propose a new sparsity-smoothness penalty for high-dimensional generalized additive models. The combination of sparsity and smoothness is crucial for mathematical theory as well as performance for finite-sample data. We present a…

This paper considers the robust phase retrieval, which can be cast as a nonsmooth and nonconvex composite optimization problem. We propose two first-order algorithms with adaptive step sizes: the subgradient algorithm (AdaSubGrad) and the…

We analyze asynchronous-type algorithms for distributed SGD in the heterogeneous setting, where each worker has its own computation and communication speeds, as well as data distribution. In these algorithms, workers compute possibly stale…

We study online linear optimization with matrix variables constrained by the operator norm, a setting where the geometry renders designing data-dependent and efficient adaptive algorithms challenging. The best-known adaptive regret bounds…

This paper proposes SMADMM, a single-loop Stochastic Momentum Alternating Direction Method of Multipliers for solving a class of nonconvex and nonsmooth composite optimization problems. SMADMM achieves the optimal oracle complexity of…

We consider a smoothed online convex optimization (SOCO) problem with predictions, where the learner has access to a finite lookahead window of time-varying stage costs, but suffers a switching cost for changing its actions at each stage.…

This paper concerns the use of sequential Monte Carlo methods (SMC) for smoothing in general state space models. A well-known problem when applying the standard SMC technique in the smoothing mode is that the resampling mechanism introduces…

We present new algorithms for optimizing non-smooth, non-convex stochastic objectives based on a novel analysis technique. This improves the current best-known complexity for finding a $(\delta,\epsilon)$-stationary point from…

We introduce a new online approach for constructing proposal distributions in particle filters using a forward scheme. Our method progressively incorporates future observations to refine proposals. This is in contrast to backward-scheme…

Computing the permanent of a non-negative matrix is a core problem with practical applications ranging from target tracking to statistical thermodynamics. However, this problem is also #P-complete, which leaves little hope for finding an…

We consider the unconstrained optimization problem whose objective function is composed of a smooth and a non-smooth conponents where the smooth component is the expectation a random function. This type of problem arises in some interesting…

In this paper, we consider a broad class of nonconvex and nonsmooth optimization problems, where one objective component is a nonsmooth weakly convex function composed with a linear operator. By integrating variable smoothing techniques…

We propose a new method for computing Dynamic Mode Decomposition (DMD) evolution matrices, which we use to analyze dynamical systems. Unlike the majority of existing methods, our approach is based on a variational formulation consisting of…

We introduce methodology for real-time inference in general-state-space hidden Markov models. Specifically, we extend recent advances in controlled sequential Monte Carlo (CSMC) methods-originally proposed for offline smoothing-to the…

A stable added-mass partitioned (AMP) algorithm is developed for fluid-structure interaction (FSI) problems involving viscous incompressible flow and compressible elastic solids. Deforming composite grids are used to effectively handle the…