Related papers: Data-Driven Mirror Descent with Input-Convex Neura…
In recent years, deep learning has achieved remarkable empirical success for image reconstruction. This has catalyzed an ongoing quest for precise characterization of correctness and reliability of data-driven methods in critical use-cases,…
This paper considers stochastic subgradient mirror-descent method for solving constrained convex minimization problems. In particular, a stochastic subgradient mirror-descent method with weighted iterate-averaging is investigated and its…
Inverse problems are inherently ill-posed, suffering from non-uniqueness and instability. Classical regularization methods provide mathematically well-founded solutions, ensuring stability and convergence, but often at the cost of reduced…
We study two variants of the mirror descent-ascent (MDA) algorithm for solving min-max problems on the space of measures: simultaneous and alternating. We work under assumptions of convexity-concavity and relative smoothness of the payoff…
This paper presents an inverse optimal control methodology and its application to training a predictive model of human motor control from a manipulation task. It introduces a convex formulation for learning both objective function and…
In this work we propose MirrorCBO, a consensus-based optimization (CBO) method which generalizes standard CBO in the same way that mirror descent generalizes gradient descent. For this we apply the CBO methodology to a swarm of dual…
We introduce an inexact variant of Stochastic Mirror Descent (SMD), called Inexact Stochastic Mirror Descent (ISMD), to solve nonlinear two-stage stochastic programs where the second stage problem has linear and nonlinear coupling…
Recently, a number of learning-based optimization methods that combine data-driven architectures with the classical optimization algorithms have been proposed and explored, showing superior empirical performance in solving various ill-posed…
Saddle point problems, ubiquitous in optimization, extend beyond game theory to diverse domains like power networks and reinforcement learning. This paper presents novel approaches to tackle saddle point problem, with a focus on…
In this paper, we propose and analyse a family of generalised stochastic composite mirror descent algorithms. With adaptive step sizes, the proposed algorithms converge without requiring prior knowledge of the problem. Combined with an…
Due to the nonlinear nature of Deep Neural Networks (DNNs), one can not guarantee convergence to a unique global minimum of the loss when using optimizers relying only on local information, such as SGD. Indeed, this was a primary source of…
We study learning to learn for regression problems through the lens of hyperparameter tuning. We propose the Langevin Gradient Descent Algorithm (LGD), which approximates the mean of the posterior distribution defined by the loss function…
Online mirror descent (OMD) and dual averaging (DA) -- two fundamental algorithms for online convex optimization -- are known to have very similar (and sometimes identical) performance guarantees when used with a fixed learning rate. Under…
It is well known that mirror descent may diverge or cycle on merely monotone variational inequalities. In this paper, we propose \emph{Target Mirror Descent} (TMD), a unified framework that stabilizes monotone flows via a target point…
Low-rank modeling has a lot of important applications in machine learning, computer vision and social network analysis. While the matrix rank is often approximated by the convex nuclear norm, the use of nonconvex low-rank regularizers has…
We consider risk-averse convex stochastic programs expressed in terms of extended polyhedral risk measures. We derive computable confidence intervals on the optimal value of such stochastic programs using the Robust Stochastic Approximation…
Constrained optimization problems appear in a wide variety of challenging real-world problems, where constraints often capture the physics of the underlying system. Classic methods for solving these problems rely on iterative algorithms…
We study how to learn $\epsilon$-optimal strategies in zero-sum imperfect information games (IIG) with trajectory feedback. In this setting, players update their policies sequentially based on their observations over a fixed number of…
Guided policy search algorithms can be used to optimize complex nonlinear policies, such as deep neural networks, without directly computing policy gradients in the high-dimensional parameter space. Instead, these methods use supervised…
Inspired by the recent paper (L. Ying, Mirror descent algorithms for minimizing interacting free energy, Journal of Scientific Computing, 84 (2020), pp. 1-14),we explore the relationship between the mirror descent and the variable metric…