Related papers: Stochastic trust-region algorithm in random subspa…
We target the problem of finding a local minimum in non-convex finite-sum minimization. Towards this goal, we first prove that the trust region method with inexact gradient and Hessian estimation can achieve a convergence rate of order…
This work elaborates on the TRust-region-ish (TRish) algorithm, a stochastic optimization method for finite-sum minimization problems proposed by Curtis et al. in [Curtis2019, Curtis2022]. A theoretical analysis that complements the results…
This work presents the convergence rate analysis of stochastic variants of the broad class of direct-search methods of directional type. It introduces an algorithm designed to optimize differentiable objective functions $f$ whose values can…
Decentralized optimization algorithms have attracted intensive interests recently, as it has a balanced communication pattern, especially when solving large-scale machine learning problems. Stochastic Path Integrated Differential Estimator…
Cascading failure causes a major risk to society currently. To effectively mitigate the risk, dynamic thermal rating (DTR) technique can be applied as a cost-effective strategy to exploit potential transmission capability. From the…
Robust optimization (RO) is a common approach to tractably obtain safeguarding solutions for optimization problems with uncertain constraints. In this paper, we study a statistical framework to integrate data into RO, based on learning a…
We present a new framework for solving general topology optimization (TO) problems that find an optimal material distribution within a design space to maximize the performance of a structure while satisfying design constraints. These…
Trust Region Policy Optimization (TRPO) and Proximal Policy Optimization (PPO), as the widely employed policy based reinforcement learning (RL) methods, are prone to converge to a sub-optimal solution as they limit the policy representation…
In this paper (part 1), we describe a derivative-free trust-region method for solving unconstrained optimization problems. We will discuss a method when we relax the model order assumption and use artificial neural network techniques to…
Submodular functions have applications throughout machine learning, but in many settings, we do not have direct access to the underlying function $f$. We focus on stochastic functions that are given as an expectation of functions over a…
Centralized training with decentralized execution (CTDE) is a standard framework for cooperative multi-agent policy-gradient reinforcement learning, allowing agents to learn from joint information while acting from local observations.…
Automated matching engines execute millions of orders per session, yet systematic asymmetries in latency, order size, and market access compound into persistent execution disparities that erode participant trust. We formulate provably fair…
This paper addresses some trust-region methods equipped with nonmonotone strategies for solving nonlinear unconstrained optimization problems. More specifically, the importance of using nonmonotone techniques in nonlinear optimization is…
This paper proposes a framework to study the convergence of stochastic optimization and learning algorithms. The framework is modeled over the different challenges that these algorithms pose, such as (i) the presence of random additive…
We present two stochastic descent algorithms that apply to unconstrained optimization and are particularly efficient when the objective function is slow to evaluate and gradients are not easily obtained, as in some PDE-constrained…
Distributionally Favorable Optimization (DFO) is an important framework for decision-making under uncertainty, with applications across fields such as reinforcement learning, online learning, robust statistics, chance-constrained…
We re-introduce a derivative-free subspace optimization framework originating from Chapter 5 of the Ph.D. thesis [Z. Zhang, On Derivative-Free Optimization Methods, Ph.D. thesis, Chinese Academy of Sciences, Beijing, 2012] of the author…
In this paper, we develop and analyze sub-sampled trust-region methods for solving finite-sum optimization problems. These methods employ subsampling strategies to approximate the gradient and Hessian of the objective function,…
Despite the success of deep neural networks (DNNs) for real-world applications over time-series data such as mobile health, little is known about how to train robust DNNs for time-series domain due to its unique characteristics compared to…
Many large-scale optimization problems arising in science and engineering are naturally defined at multiple levels of discretization or model fidelity. Multilevel methods exploit this hierarchy to accelerate convergence by combining coarse-…