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The Markov chain Monte Carlo method (MCMC), especially the Metropolis-Hastings (MH) algorithm, is a widely used technique for sampling from a target probability distribution $P$ on a state space $\Omega$ and applied to various problems such…
Distortion Risk Measures (DRMs) capture risk preferences in decision-making and serve as general criteria for managing uncertainty. This paper proposes gradient descent algorithms for DRM optimization based on two dual representations: the…
Quantum state tomography (QST) via local measurements on reduced density matrices (LQST) is a promising approach but becomes impractical for large systems. To tackle this challenge, we developed an efficient quantum state tomography method…
In a recent paper, Bubeck, Lee, and Singh introduced a new first order method for minimizing smooth strongly convex functions. Their geometric descent algorithm, largely inspired by the ellipsoid method, enjoys the optimal linear rate of…
We introduce in this paper an optimal first-order method that allows an easy and cheap evaluation of the local Lipschitz constant of the objective's gradient. This constant must ideally be chosen at every iteration as small as possible,…
Maximum entropy inference and learning of graphical models are pivotal tasks in learning theory and optimization. This work extends algorithms for these problems, including generalized iterative scaling (GIS) and gradient descent (GD), to…
Relative smoothness - a notion introduced by Birnbaum et al. (2011) and rediscovered by Bauschke et al. (2016) and Lu et al. (2016) - generalizes the standard notion of smoothness typically used in the analysis of gradient type methods. In…
A novel operational method for estimating the efficiency of quantum state tomography protocols is suggested. It is based on a-priori estimation of the quality of an arbitrary protocol by means of universal asymptotic fidelity distribution…
In this paper, we propose two new algorithms for maximum-likelihood estimation (MLE) of high dimensional sparse covariance matrices. Unlike most of the state of-the-art methods, which either use regularization techniques or penalize the…
We consider expected risk minimization problems when the range of the estimator is required to be nonnegative, motivated by the settings of maximum likelihood estimation (MLE) and trajectory optimization. To facilitate nonlinear…
Stochastic estimators are fundamental to large-scale optimization, where population quantities must be inferred from noisy oracle observations. Although influential methods such as momentum, SPIDER, STORM, and PAGE have been highly…
Stochastic approximation techniques play an important role in solving many problems encountered in machine learning or adaptive signal processing. In these contexts, the statistics of the data are often unknown a priori or their direct…
We develop a stochastic approximation-type algorithm to solve finite state/action, infinite-horizon, risk-aware Markov decision processes. Our algorithm has two loops. The inner loop computes the risk by solving a stochastic saddle-point…
Classical convergence analyses for optimization algorithms rely on the widely-adopted uniform smoothness assumption. However, recent experimental studies have demonstrated that many machine learning problems exhibit non-uniform smoothness,…
A new algorithm named EXPected Similarity Estimation (EXPoSE) was recently proposed to solve the problem of large-scale anomaly detection. It is a non-parametric and distribution free kernel method based on the Hilbert space embedding of…
We propose a distributed Quantum State Tomography (QST) protocol, named Local Stochastic Factored Gradient Descent (Local SFGD), to learn the low-rank factor of a density matrix over a set of local machines. QST is the canonical procedure…
Under interpolation-type assumptions such as the strong growth condition, stochastic optimization methods can attain convergence rates comparable to full-batch methods, but their performance, particularly for SGD, remains highly sensitive…
The ODE method has been a workhorse for algorithm design and analysis since the introduction of the stochastic approximation. It is now understood that convergence theory amounts to establishing robustness of Euler approximations for ODEs,…
In this article we propose a new approach to quantum measurement in reference to the stroboscopic tomography. Generally, in the stroboscopic approach it is assumed that the information about the quantum system is encoded in the mean values…
High-quality quantum state generation is essential for advanced quantum information processing, including quantum communication, quantum sensing, and quantum computing. In practice, various error sources degrade the quality of quantum…