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Majorization-minimization algorithms consist of iteratively minimizing a majorizing surrogate of an objective function. Because of its simplicity and its wide applicability, this principle has been very popular in statistics and in signal…
In this work, multiplicative stochasticity is applied to the learning rate of stochastic optimization algorithms, giving rise to stochastic learning-rate schemes. In-expectation theoretical convergence results of Stochastic Gradient Descent…
We consider stochastic settings for clustering, and develop provably-good approximation algorithms for a number of these notions. These algorithms yield better approximation ratios compared to the usual deterministic clustering setting.…
This thesis introduces stochastic generalized routing problem model and proposes exact and heuristic algorithms to solve it efficiently, in a wide range of problem sizes. At first, the classic routing problem with its common variations in…
We revisit the sample average approximation (SAA) approach for non-convex stochastic programming. We show that applying the SAA approach to problems with expected value equality constraints does not necessarily result in asymptotic…
The main focus of this paper is radius-based (supplier) clustering in the two-stage stochastic setting with recourse, where the inherent stochasticity of the model comes in the form of a budget constraint. In addition to the standard…
Floating-point round-off errors are ubiquitous in numerically intensive programs arising in fields such as scientific computing and optimization. As floating-point errors potentially lead to unexpected and catastrophic program failures, one…
Stochastic constraints, which incorporate both deterministic parameters and random variables, extend classical deterministic constraints by explicitly accounting for uncertainty. These constraints are increasingly prevalent in data science,…
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…
In this paper, we consider a general stochastic optimization problem which is often at the core of supervised learning, such as deep learning and linear classification. We consider a standard stochastic gradient descent (SGD) method with a…
Stochastic gradient descent (SGD) algorithm is the method of choice in many machine learning tasks thanks to its scalability and efficiency in dealing with large-scale problems. In this paper, we focus on the shuffling version of SGD which…
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…
Mathematical solvers use parametrized Optimization Problems (OPs) as inputs to yield optimal decisions. In many real-world settings, some of these parameters are unknown or uncertain. Recent research focuses on predicting the value of these…
Stochastic gradient descent (SGD) is perhaps the most prevalent optimization method in modern machine learning. Contrary to the empirical practice of sampling from the datasets without replacement and with (possible) reshuffling at each…
Random Fourier Features (RFF) is among the most popular and broadly applicable approaches for scaling up kernel methods. In essence, RFF allows the user to avoid costly computations on a large kernel matrix via a fast randomized…
We develop new techniques for rounding packing integer programs using iterative randomized rounding. It is based on a novel application of multidimensional Brownian motion in $\mathbb{R}^n$. Let $\overset{\sim}{x} \in {[0,1]}^n$ be a…
We study the performance of stochastic gradient descent (SGD) on smooth and strongly-convex finite-sum optimization problems. In contrast to the majority of existing theoretical works, which assume that individual functions are sampled with…
We present two new remarkably simple stochastic second-order methods for minimizing the average of a very large number of sufficiently smooth and strongly convex functions. The first is a stochastic variant of Newton's method (SN), and the…
Orthogonal statistical learning and double machine learning have emerged as general frameworks for two-stage statistical prediction in the presence of a nuisance component. We establish non-asymptotic bounds on the excess risk of orthogonal…
Randomized rounding is a standard method, based on the probabilistic method, for designing combinatorial approximation algorithms. In Raghavan's seminal paper introducing the method (1988), he writes: "The time taken to solve the linear…