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Although the optimization objectives for learning neural networks are highly non-convex, gradient-based methods have been wildly successful at learning neural networks in practice. This juxtaposition has led to a number of recent studies on…
In this paper, we consider a non-convex loss-minimization problem of learning Supervised PageRank models, which can account for some properties not considered by classical approaches such as the classical PageRank model. We propose…
We present a proximal gradient method for solving convex multiobjective optimization problems, where each objective function is the sum of two convex functions, with one assumed to be continuously differentiable. The algorithm incorporates…
We propose a generic framework based on a new stochastic variance-reduced gradient descent algorithm for accelerating nonconvex low-rank matrix recovery. Starting from an appropriate initial estimator, our proposed algorithm performs…
In this paper, we show that simple {Stochastic} subGradient Decent methods with multiple Restarting, named {\bf RSGD}, can achieve a \textit{linear convergence rate} for a class of non-smooth and non-strongly convex optimization problems…
We analyze stochastic gradient algorithms for optimizing nonconvex, nonsmooth finite-sum problems. In particular, the objective function is given by the summation of a differentiable (possibly nonconvex) component, together with a possibly…
In this paper, we consider continuous-time stochastic optimal control problems where the cost is evaluated through a coherent risk measure. We provide an explicit gradient descent-ascent algorithm which applies to problems subject to…
Gradient descent algorithms perform well in convex optimization but can get tied for finding local minima in non-convex optimization. A robust method that combines a spectral approach with nonmonotone line search strategy for solving…
For strongly convex objectives that are smooth, the classical theory of gradient descent ensures linear convergence relative to the number of gradient evaluations. An analogous nonsmooth theory is challenging. Even when the objective is…
The standard assumption for proving linear convergence of first order methods for smooth convex optimization is the strong convexity of the objective function, an assumption which does not hold for many practical applications. In this…
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…
We propose an optimization proxy in terms of iterative implicit gradient methods for solving constrained optimization problems with nonconvex loss functions. This framework can be applied to a broad range of machine learning settings,…
This paper proposes and analyzes a communication-efficient distributed optimization framework for general nonconvex nonsmooth signal processing and machine learning problems under an asynchronous protocol. At each iteration, worker machines…
Minimax problems of the form $\min_x \max_y \Psi(x,y)$ have attracted increased interest largely due to advances in machine learning, in particular generative adversarial networks. These are typically trained using variants of stochastic…
In many modern machine learning applications, structures of underlying mathematical models often yield nonconvex optimization problems. Due to the intractability of nonconvexity, there is a rising need to develop efficient methods for…
Stochastic gradient methods are the workhorse (algorithms) of large-scale optimization problems in machine learning, signal processing, and other computational sciences and engineering. This paper studies Markov chain gradient descent, a…
Motivated by applications arising from sensor networks and machine learning, we consider the problem of minimizing a finite sum of nondifferentiable convex functions where each component function is associated with an agent and a…
In this paper, we study the gradient descent-ascent method for convex-concave saddle-point problems. We derive a new non-asymptotic global convergence rate in terms of distance to the solution set by using the semidefinite programming…
Novel coordinate descent (CD) methods are proposed for minimizing nonconvex functions consisting of three terms: (i) a continuously differentiable term, (ii) a simple convex term, and (iii) a concave and continuous term. First, by extending…
We analyze stochastic algorithms for optimizing nonconvex, nonsmooth finite-sum problems, where the nonconvex part is smooth and the nonsmooth part is convex. Surprisingly, unlike the smooth case, our knowledge of this fundamental problem…