Related papers: Mini-batch stochastic Nesterov's smoothing method …
Composite minimization involves a collection of smooth functions which are aggregated in a nonsmooth manner. In the convex setting, we design an algorithm by linearizing each smooth component in accordance with its main curvature. The…
We propose a proximal variable smoothing algorithm for a nonsmooth optimization problem whose cost function is the sum of three functions including a weakly convex composite function. The proposed algorithm has a single-loop structure…
This paper presents smoothing schemes for obtaining approximate stationary points of unconstrained or linearly-constrained composite nonconvex-concave min-max (and hence nonsmooth) problems by applying well-known algorithms to composite…
We propose a general scheme for solving convex and non-convex optimization problems on manifolds. The central idea is that, by adding a multiple of the squared retraction distance to the objective function in question, we "convexify" the…
We propose a parallel stochastic Newton method (PSN) for minimizing unconstrained smooth convex functions. We analyze the method in the strongly convex case, and give conditions under which acceleration can be expected when compared to its…
The stochastic subgradient method is a widely-used algorithm for solving large-scale optimization problems arising in machine learning. Often these problems are neither smooth nor convex. Recently, Davis et al. [1-2] characterized the…
In this paper we consider large-scale smooth optimization problems with multiple linear coupled constraints. Due to the non-separability of the constraints, arbitrary random sketching would not be guaranteed to work. Thus, we first…
We introduce and analyze an algorithm for the minimization of convex functions that are the sum of differentiable terms and proximable terms composed with linear operators. The method builds upon the recently developed smoothed gap…
In this paper we analyze a zeroth-order proximal stochastic gradient method suitable for the minimization of weakly convex stochastic optimization problems. We consider nonsmooth and nonlinear stochastic composite problems, for which…
This paper studies a stochastic algorithm for linearly constrained nonconvex optimization, where the objective function is smooth but only unbiased stochastic gradients with bounded variance are available. We propose a momentum-based…
With the large rising of complex data, the nonconvex models such as nonconvex loss function and nonconvex regularizer are widely used in machine learning and pattern recognition. In this paper, we propose a class of mini-batch stochastic…
Optimization algorithms for solving nonconvex inverse problem have attracted significant interests recently. However, existing methods require the nonconvex regularization to be smooth or simple to ensure convergence. In this paper, we…
Subspace segmentation or subspace learning is a challenging and complicated task in machine learning. This paper builds a primary frame and solid theoretical bases for the minimal subspace segmentation (MSS) of finite samples. Existence and…
Non-convex optimization is a critical tool in advancing machine learning, especially for complex models like deep neural networks and support vector machines. Despite challenges such as multiple local minima and saddle points, non-convex…
Optimization plays a key role in machine learning. Recently, stochastic second-order methods have attracted much attention due to their low computational cost in each iteration. However, these algorithms might perform poorly especially if…
A number of optimization approaches have been proposed for optimizing nonconvex objectives (e.g. deep learning models), such as batch gradient descent, stochastic gradient descent and stochastic variance reduced gradient descent. Theory…
We propose a new stochastic proximal quasi-Newton method for minimizing the sum of two convex functions in the particular context that one of the functions is the average of a large number of smooth functions and the other one is nonsmooth.…
In this paper, we consider the problem of stochastic optimization, where the objective function is in terms of the expectation of a (possibly non-convex) cost function that is parametrized by a random variable. While the convergence speed…
Optimization models with non-convex constraints arise in many tasks in machine learning, e.g., learning with fairness constraints or Neyman-Pearson classification with non-convex loss. Although many efficient methods have been developed…
Stochastic gradient methods (SGMs) have been extensively used for solving stochastic problems or large-scale machine learning problems. Recent works employ various techniques to improve the convergence rate of SGMs for both convex and…