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Given a $d$-dimensional continuous (resp. discrete) probability distribution $\mu$ and a discrete distribution $\nu$, the semi-discrete (resp. discrete) Optimal Transport (OT) problem asks for computing a minimum-cost plan to transport mass…
ADAGB2, a generalization of the Adagrad algorithm for stochastic optimization is introduced, which is also applicable to bound-constrained problems and capable of using second-order information when available. It is shown that, given…
Fractional-order stochastic gradient descent (FOSGD) leverages fractional exponents to capture long-memory effects in optimization. However, its utility is often limited by the difficulty of tuning and stabilizing these exponents. We…
Sparsity regularized loss minimization problems play an important role in various fields including machine learning, data mining, and modern statistics. Proximal gradient descent method and coordinate descent method are the most popular…
Primal-dual algorithm (PDA) is a classic and popular scheme for convex-concave saddle point problems. It is universally acknowledged that the proximal terms in the subproblems about the primal and dual variables are crucial to the…
In this work we investigate the practicality of stochastic gradient descent and recently introduced variants with variance-reduction techniques in imaging inverse problems. Such algorithms have been shown in the machine learning literature…
The optimal transport (OT) problem can be reduced to a linear programming (LP) problem through discretization. In this paper, we introduced the random block coordinate descent (RBCD) methods to directly solve this LP problem. Our approach…
Adaptive gradient algorithms perform gradient-based updates using the history of gradients and are ubiquitous in training deep neural networks. While adaptive gradient methods theory is well understood for minimization problems, the…
We investigate the semi-discrete Optimal Transport (OT) problem, where a continuous source measure $\mu$ is transported to a discrete target measure $\nu$, with particular attention to the OT map approximation. In this setting, Stochastic…
In this paper we propose a primal-dual proximal extragradient algorithm to solve the generalized Dantzig selector (GDS) estimation problem, based on a new convex-concave saddle-point (SP) reformulation. Our new formulation makes it possible…
This paper proposes an efficient HOT algorithm for solving the optimal transport (OT) problems with finite supports. We particularly focus on an efficient implementation of the HOT algorithm for the case where the supports are in…
In many machine learning applications, it is necessary to meaningfully aggregate, through alignment, different but related datasets. Optimal transport (OT)-based approaches pose alignment as a divergence minimization problem: the aim is to…
We study finite-time performance of a recently proposed distributed dual subgradient (DDSG) method for convex constrained multi-agent optimization problems. The algorithm enjoys performance guarantees on the last primal iterate, as opposed…
Stochastic gradient descent (SGD) algorithm and its variations have been effectively used to optimize neural network models. However, with the rapid growth of big data and deep learning, SGD is no longer the most suitable choice due to its…
Optimal Transport (OT) naturally arises in many machine learning applications, yet the heavy computational burden limits its wide-spread uses. To address the scalability issue, we propose an implicit generative learning-based framework…
The nonlinear filtering problem is concerned with finding the conditional probability distribution (posterior) of the state of a stochastic dynamical system, given a history of partial and noisy observations. This paper presents a…
We present a novel accelerated primal-dual (APD) method for solving a class of deterministic and stochastic saddle point problems (SPP). The basic idea of this algorithm is to incorporate a multi-step acceleration scheme into the…
This paper studies the distributed optimization problem when the objective functions might be nondifferentiable and subject to heterogeneous set constraints. Unlike existing subgradient methods, we focus on the case when the exact…
We study dynamical optimal transport of discrete time systems (dDOT) with Lagrangian cost. The problem is approached by combining optimal control and Kantorovich duality theory. Based on the derived solution, a first order splitting…
In this paper, we are motivated by two important applications: entropy-regularized optimal transport problem and road or IP traffic demand matrix estimation by entropy model. Both of them include solving a special type of optimization…