Related papers: HessianFR: An Efficient Hessian-based Follow-the-R…
Computing Nash equilibrium (NE) of multi-player games has witnessed renewed interest due to recent advances in generative adversarial networks. However, computing equilibrium efficiently is challenging. To this end, we introduce the…
We propose iterative algorithms to solve adversarial problems in a variety of supervised learning settings of interest. Our algorithms, which can be interpreted as suitable ascent-descent dynamics in Wasserstein spaces, take the form of a…
We provide several applications of Optimistic Mirror Descent, an online learning algorithm based on the idea of predictable sequences. First, we recover the Mirror Prox algorithm for offline optimization, prove an extension to Holder-smooth…
Stochastic differential games have been used extensively to model agents' competitions in Finance, for instance, in P2P lending platforms from the Fintech industry, the banking system for systemic risk, and insurance markets. The recently…
We consider the problem of computing mixed Nash equilibria of two-player zero-sum games with continuous sets of pure strategies and with first-order access to the payoff function. This problem arises for example in game-theory-inspired…
This paper investigates the convergence of learning dynamics in Stackelberg games. In the class of games we consider, there is a hierarchical game being played between a leader and a follower with continuous action spaces. We establish a…
We develop an efficient stochastic variance reduced gradient descent algorithm to solve the affine rank minimization problem consists of finding a matrix of minimum rank from linear measurements. The proposed algorithm as a stochastic…
We consider minimizing a smooth and strongly convex objective function using a stochastic Newton method. At each iteration, the algorithm is given an oracle access to a stochastic estimate of the Hessian matrix. The oracle model includes…
Algorithmic reproducibility measures the deviation in outputs of machine learning algorithms upon minor changes in the training process. Previous work suggests that first-order methods would need to trade-off convergence rate (gradient…
We first study the fast minimization properties of the trajectories of the second-order evolution equation $$\ddot{x}(t) + \frac{\alpha}{t} \dot{x}(t) + \beta \nabla^2 \Phi (x(t))\dot{x} (t) + \nabla \Phi (x(t)) = 0,$$ where $\Phi:\mathcal…
This paper presents an algorithmic framework for solving unconstrained stochastic optimization problems using only stochastic function evaluations. We employ central finite-difference based gradient estimation methods to approximate the…
The success of adversarial formulations in machine learning has brought renewed motivation for smooth games. In this work, we focus on the class of stochastic Hamiltonian methods and provide the first convergence guarantees for certain…
We study online convex optimization under stochastic sub-gradient observation faults, where we introduce adaptive algorithms with minimax optimal regret guarantees. We specifically study scenarios where our sub-gradient observations can be…
Many machine learning problems can be formulated as minimax problems such as Generative Adversarial Networks (GANs), AUC maximization and robust estimation, to mention but a few. A substantial amount of studies are devoted to studying the…
This paper considers minimax optimization $\min_x \max_y f(x, y)$ in the challenging setting where $f$ can be both nonconvex in $x$ and nonconcave in $y$. Though such optimization problems arise in many machine learning paradigms including…
In this paper, we provide a generalization of the forward-backward splitting algorithm for minimizing the sum of a proper convex lower semicontinuous function and a differentiable convex function whose gradient satisfies a locally…
In this paper, a modified BFGS algorithm is proposed. The modified BFGS matrix estimates a modified Hessian matrix which is a convex combination of an identity matrix for the steepest descent algorithm and a Hessian matrix for the Newton…
Differential games, in particular two-player sequential zero-sum games (a.k.a. minimax optimization), have been an important modeling tool in applied science and received renewed interest in machine learning due to many recent applications,…
Rapid advances in data collection and processing capabilities have allowed for the use of increasingly complex models that give rise to nonconvex optimization problems. These formulations, however, can be arbitrarily difficult to solve in…
In noncooperative Nash games, equilibria are often inefficient. This is exemplified by the Prisoner's Dilemma and was first provably shown in the 1980s. Since then, understanding the quality of Nash equilibrium (NE) received considerable…