Related papers: Fixed-point iterative algorithm for SVI model
Entropy regularized algorithms such as Soft Q-learning and Soft Actor-Critic, recently showed state-of-the-art performance on a number of challenging reinforcement learning (RL) tasks. The regularized formulation modifies the standard RL…
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We develop nested variational inference (NVI), a family of methods that learn proposals for nested importance samplers by minimizing an forward or reverse KL divergence at each level of nesting. NVI is applicable to many commonly-used…
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Aiming to provide a faster and convenient truncated SVD algorithm for large sparse matrices from real applications (i.e. for computing a few of largest singular values and the corresponding singular vectors), a dynamically shifted power…
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In this paper, we propose a stochastic method for solving equality constrained optimization problems that utilizes predictive variance reduction. Specifically, we develop a method based on the sequential quadratic programming paradigm that…
A wide range of applications arising in machine learning and signal processing can be cast as convex optimization problems. These problems are often ill-posed, i.e., the optimal solution lacks a desired property such as uniqueness or…
We develop a fixed-point iterative algorithm that computes the matrix projection with respect to the Bures distance on the set of positive definite matrices that are invariant under some symmetry. We prove that the fixed-point iteration…
Algorithmic analysis of Markov decision processes (MDP) and stochastic games (SG) in practice relies on value-iteration (VI) algorithms. Since the basic version of VI does not provide guarantees on the precision of the result, variants of…
Recent works leveraging Graph Neural Networks to approach graph matching tasks have shown promising results. Recent progress in learning discrete distributions poses new opportunities for learning graph matching models. In this work, we…
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An efficient and flexible engine for computing fixed points is critical for many practical applications. In this paper, we firstly present a goal-directed fixed point computation strategy in the logic programming paradigm. The strategy…
The growing prevalence of nonsmooth optimization problems in machine learning has spurred significant interest in generalized smoothness assumptions. Among these, the (L0, L1)-smoothness assumption has emerged as one of the most prominent.…
Over the past decade, various matrix completion algorithms have been developed. Thresholded singular value decomposition (SVD) is a popular technique in implementing many of them. A sizable number of studies have shown its theoretical and…
We propose an implicit iterative algorithm for an exact penalty method arising from inequality constrained optimization problems. A rapidly convergent fixed point method is developed for a regularized penalty functional. The applicability…
In this paper, an iterative method for robust deconvolution with positivity constraints is discussed. It is based on the known variational interpretation of the Richardson-Lucy iterative deconvolution as fixed-point iteration for the…
This paper deals with a modified iterative projection method for approximating a solution of the hierarchical fixed point problem for a sequene of nearly nonexpansive mappings with respect to a nonexpansive mapping. It is shown that under…
Stochastic gradient descent type methods are ubiquitous in machine learning, but they are only applicable to the optimization of differentiable functions. Proximal algorithms are more general and applicable to nonsmooth functions. We…
We consider a stochastic volatility model which captures relevant stylized facts of financial series, including the multi-scaling of moments. The volatility evolves according to a generalized Ornstein-Uhlenbeck processes with super-linear…