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Reducing communication complexity is critical for efficient decentralized optimization. The proximal decentralized optimization (PDO) framework is particularly appealing, as methods within this framework can exploit functional similarity…
In this thesis, I study the minimax oracle complexity of distributed stochastic optimization. First, I present the "graph oracle model", an extension of the classic oracle complexity framework that can be applied to study distributed…
Randomized smoothing is a widely adopted technique for optimizing nonsmooth objective functions. However, its efficiency analysis typically relies on global Lipschitz continuity, a condition rarely met in practical applications. To address…
This paper presents a new Metropolis-adjusted Langevin algorithm (MALA) that uses convex analysis to simulate efficiently from high-dimensional densities that are log-concave, a class of probability distributions that is widely used in…
We study differentially private (DP) stochastic optimization (SO) with loss functions whose worst-case Lipschitz parameter over all data may be extremely large or infinite. To date, the vast majority of work on DP SO assumes that the loss…
Uniform sampling of training data has been commonly used in traditional stochastic optimization algorithms such as Proximal Stochastic Gradient Descent (prox-SGD) and Proximal Stochastic Dual Coordinate Ascent (prox-SDCA). Although uniform…
In this work, we describe a generic approach to show convergence with high probability for stochastic convex optimization. In previous works, either the convergence is only in expectation or the bound depends on the diameter of the domain.…
In large-data applications, such as the inference process of diffusion models, it is desirable to design sampling algorithms with a high degree of parallelization. In this work, we study the adaptive complexity of sampling, which is the…
This paper studies minimax optimization problems $\min_x \max_y f(x,y)$, where $f(x,y)$ is $m_x$-strongly convex with respect to $x$, $m_y$-strongly concave with respect to $y$ and $(L_x,L_{xy},L_y)$-smooth. Zhang et al. provided the…
Stochastic Gradient (SG) is the defacto iterative technique to solve stochastic optimization (SO) problems with a smooth (non-convex) objective $f$ and a stochastic first-order oracle. SG's attractiveness is due in part to its simplicity of…
A dynamic sampled stochastic approximated (DS-SA) extragradient method for stochastic variational inequalities (SVI) is proposed that is \emph{robust} with respect to an unknown Lipschitz constant $L$. To the best of our knowledge, it is…
This paper focuses on stochastic proximal gradient methods for optimizing a smooth non-convex loss function with a non-smooth non-convex regularizer and convex constraints. To the best of our knowledge we present the first non-asymptotic…
Sampling from nonsmooth target probability distributions is essential in various applications, including the Bayesian Lasso. We propose a splitting-based sampling algorithm for the time-implicit discretization of the probability flow for…
We propose a proximal variable smoothing algorithm for a nonsmooth optimization problem whose cost function is the sum of three functions including a weakly convex composite function. The proposed algorithm has a single-loop structure…
We study the problem of approximate sampling from non-log-concave distributions, e.g., Gaussian mixtures, which is often challenging even in low dimensions due to their multimodality. We focus on performing this task via Markov chain Monte…
We consider the task of sampling with respect to a log concave probability distribution. The potential of the target distribution is assumed to be composite, \textit{i.e.}, written as the sum of a smooth convex term, and a nonsmooth convex…
We design an algorithm which finds an $\epsilon$-approximate stationary point (with $\|\nabla F(x)\|\le \epsilon$) using $O(\epsilon^{-3})$ stochastic gradient and Hessian-vector products, matching guarantees that were previously available…
Several problems in modeling and control of stochastically-driven dynamical systems can be cast as regularized semi-definite programs. We examine two such representative problems and show that they can be formulated in a similar manner. The…
We introduce a new family of MCMC samplers that combine auxiliary variables, Gibbs sampling and Taylor expansions of the target density. Our approach permits the marginalisation over the auxiliary variables yielding marginal samplers, or…
We study the problem of learning multivariate log-concave densities with respect to a global loss function. We obtain the first upper bound on the sample complexity of the maximum likelihood estimator (MLE) for a log-concave density on…