Related papers: Non asymptotic analysis of Adaptive stochastic gra…

In this report, we study decentralized stochastic optimization to minimize a sum of smooth and strongly convex cost functions when the functions are distributed over a directed network of nodes. In contrast to the existing work, we use…

We provide a numerically robust and fast method capable of exploiting the local geometry when solving large-scale stochastic optimisation problems. Our key innovation is an auxiliary variable construction coupled with an inverse Hessian…

The paper derives analytical expressions for the asymptotic average updating direction of the adaptive moment generation (ADAM) algorithm when applied to recursive identification of nonlinear systems. It is proved that the standard…

Stochastic Gradient Descent (SGD) has played a central role in machine learning. However, it requires a carefully hand-picked stepsize for fast convergence, which is notoriously tedious and time-consuming to tune. Over the last several…

The graduated optimization approach, also known as the continuation method, is a popular heuristic to solving non-convex problems that has received renewed interest over the last decade. Despite its popularity, very little is known in terms…

Stochastic gradient methods are the workhorse (algorithms) of large-scale optimization problems in machine learning, signal processing, and other computational sciences and engineering. This paper studies Markov chain gradient descent, a…

Stochastic nonconvex optimization problems with nonlinear constraints have a broad range of applications in intelligent transportation, cyber-security, and smart grids. In this paper, first, we propose an inexact-proximal accelerated…

We introduce biased gradient oracles to capture a setting where the function measurements have an estimation error that can be controlled through a batch size parameter. Our proposed oracles are appealing in several practical contexts, for…

Nonconvex optimization problems arise in different research fields and arouse lots of attention in signal processing, statistics and machine learning. In this work, we explore the accelerated proximal gradient method and some of its…

We investigate the Randomized Stochastic Accelerated Gradient (RSAG) method, utilizing either constant or adaptive step sizes, for stochastic optimization problems with generalized smooth objective functions. Under relaxed affine variance…

Adaptive gradient methods have attracted much attention of machine learning communities due to the high efficiency. However their acceleration effect in practice, especially in neural network training, is hard to analyze, theoretically. The…

We introduce a novel and efficient algorithm called the stochastic approximate gradient descent (SAGD), as an alternative to the stochastic gradient descent for cases where unbiased stochastic gradients cannot be trivially obtained.…

Adaptive gradient-based optimizers such as Adagrad and Adam are crucial for achieving state-of-the-art performance in machine translation and language modeling. However, these methods maintain second-order statistics for each parameter,…

We propose and analyze a stochastic Newton algorithm for homogeneous distributed stochastic convex optimization, where each machine can calculate stochastic gradients of the same population objective, as well as stochastic Hessian-vector…

Stochastic Approximation (SA) is a classical algorithm that has had since the early days a huge impact on signal processing, and nowadays on machine learning, due to the necessity to deal with a large amount of data observed with…

Stochastic approximation (SA) is a key method used in statistical learning. Recently, its non-asymptotic convergence analysis has been considered in many papers. However, most of the prior analyses are made under restrictive assumptions…

In this paper, we propose a generic and simple strategy for utilizing stochastic gradient information in optimization. The technique essentially contains two consecutive steps in each iteration: 1) computing and normalizing each block…

In this paper, we introduce StochGradAdam, a novel optimizer designed as an extension of the Adam algorithm, incorporating stochastic gradient sampling techniques to improve computational efficiency while maintaining robust performance.…

Distributed Optimization is an increasingly important subject area with the rise of multi-agent control and optimization. We consider a decentralized stochastic optimization problem where the agents on a graph aim to asynchronously optimize…

Stochastic gradient descent (SGD) is a popular and efficient method with wide applications in training deep neural nets and other nonconvex models. While the behavior of SGD is well understood in the convex learning setting, the existing…