Related papers: On backward smoothing algorithms
In this paper we address the convergence of stochastic approximation when the functions to be minimized are not convex and nonsmooth. We show that the "mean-limit" approach to the convergence which leads, for smooth problems, to the ODE…
Choosing the optimization algorithm that performs best on a given machine learning problem is often delicate, and there is no guarantee that current state-of-the-art algorithms will perform well across all tasks. Consequently, the more…
Stochastic optimization has found wide applications in minimizing objective functions in machine learning, which motivates a lot of theoretical studies to understand its practical success. Most of existing studies focus on the convergence…
We present new policy mirror descent (PMD) methods for solving reinforcement learning (RL) problems with either strongly convex or general convex regularizers. By exploring the structural properties of these overall highly nonconvex…
In many clustering scenes, data samples' attribute values change over time. For such data, we are often interested in obtaining a partition for each time step and tracking the dynamic change of partitions. Normally, a smooth change is…
This paper reviews the gradient sampling methodology for solving nonsmooth, nonconvex optimization problems. An intuitively straightforward gradient sampling algorithm is stated and its convergence properties are summarized. Throughout this…
We propose an effective subspace selection scheme as a post-processing step to improve results obtained by sparse subspace clustering (SSC). Our method starts by the computation of stable subspaces using a novel random sampling scheme. Thus…
We present a framework to train a structured prediction model by performing smoothing on the inference algorithm it builds upon. Smoothing overcomes the non-smoothness inherent to the maximum margin structured prediction objective, and…
We propose an adaptive smoothing algorithm based on Nesterov's smoothing technique in \cite{Nesterov2005c} for solving "fully" nonsmooth composite convex optimization problems. Our method combines both Nesterov's accelerated proximal…
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…
The skeleton of a digital image is a compact representation of its topology, geometry, and scale. It has utility in many computer vision applications, such as image description, segmentation, and registration. However, skeletonization has…
This work has the goal of briefly surveying some key stabilization techniques for general nonlinear systems, for which, as it is well known, a smooth control Lyapunov function may fail to exist. A general overview of the situation with…
Multi-scale problems, where variables of interest evolve in different time-scales and live in different state-spaces, can be found in many fields of science. Here, we introduce a new recursive methodology for Bayesian inference that aims at…
Smoothers are algorithms for Bayesian time series re-analysis. Most operational smoothers rely either on affine Kalman-type transformations or on sequential importance sampling. These strategies occupy opposite ends of a spectrum that…
Simulator-based models are models for which the likelihood is intractable but simulation of synthetic data is possible. They are often used to describe complex real-world phenomena, and as such can often be misspecified in practice.…
We analyse the performance of a recursive Monte Carlo method for the Bayesian estimation of the static parameters of a discrete--time state--space Markov model. The algorithm employs two layers of particle filters to approximate the…
This paper is devoted to the study of stochastic optimization problems under the generalized smoothness assumption. By considering the unbiased gradient oracle in Stochastic Gradient Descent, we provide strategies to achieve in bounds the…
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…
Markov chain Monte Carlo algorithms are invaluable tools for exploring stationary properties of physical systems, especially in situations where direct sampling is unfeasible. Common implementations of Monte Carlo algorithms employ…
In this paper, a sampling-based Stochastic Model Predictive Control algorithm is proposed for discrete-time linear systems subject to both parametric uncertainties and additive disturbances. One of the main drivers for the development of…