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We study the optimization of non-convex functions that are not necessarily smooth (gradient and/or Hessian are Lipschitz) using first order methods. Smoothness is a restrictive assumption in machine learning in both theory and practice,…
We introduce a new approach to develop stochastic optimization algorithms for a class of stochastic composite and possibly nonconvex optimization problems. The main idea is to combine two stochastic estimators to create a new hybrid one. We…
In this paper, we propose a new accelerated stochastic first-order method called clipped-SSTM for smooth convex stochastic optimization with heavy-tailed distributed noise in stochastic gradients and derive the first high-probability…
In this paper we study stochastic quasi-Newton methods for nonconvex stochastic optimization, where we assume that only stochastic information of the gradients of the objective function is available via a stochastic first-order oracle…
In this paper, we present a novel derivative-free optimization framework for solving unconstrained stochastic optimization problems. Many problems in fields ranging from simulation optimization to reinforcement learning involve settings…
A step-search sequential quadratic programming method is proposed for solving nonlinear equality constrained stochastic optimization problems. It is assumed that constraint function values and derivatives are available, but only stochastic…
We consider stochastic optimization problems involving an expected value of a nonlinear function of a base random vector and a conditional expectation of another function depending on the base random vector, a dependent random vector, and…
This paper provides a review and commentary on the past, present, and future of numerical optimization algorithms in the context of machine learning applications. Through case studies on text classification and the training of deep neural…
We consider stochastic convex optimization problems with affine constraints and develop several methods using either primal or dual approach to solve it. In the primal case, we use a special penalization technique to make the initial…
This paper considers the problem of randomized influence maximization over a Markovian graph process: given a fixed set of nodes whose connectivity graph is evolving as a Markov chain, estimate the probability distribution (over this fixed…
In this paper we introduce new methods for convex optimization problems with inexact stochastic oracle. First method is an extension of the intermediate gradient method proposed by Devolder, Glineur and Nesterov for problems with inexact…
We consider the problem of optimising the expected value of a loss functional over a nonlinear model class of functions, assuming that we have only access to realisations of the gradient of the loss. This is a classical task in statistics,…
This paper proposes novel algorithm for non-convex multimodal constrained optimisation problems. It is based on sequential solving restrictions of problem to sections of feasible set by random subspaces (in general, manifolds) of low…
We present in this paper novel accelerated fully first-order methods in \emph{Bilevel Optimization} (BLO). Firstly, for BLO under the assumption that the lower-level functions admit the typical strong convexity assumption, the…
We study stochastic second-order methods for solving general non-convex optimization problems. We propose using a special version of momentum to stabilize the stochastic gradient and Hessian estimates in Newton's method. We show that…
In this paper, we consider both first- and second-order techniques to address continuous optimization problems arising in machine learning. In the first-order case, we propose a framework of transition from deterministic or…
In this paper, we introduce some adaptive methods for solving variational inequalities with relatively strongly monotone operators. Firstly, we focus on the modification of the recently proposed, in smooth case [1], adaptive numerical…
Many quantum many-body wavefunctions, such as Jastrow-Slater, tensor network, and neural quantum states, are studied with the variational Monte Carlo technique, where stochastic optimization is usually performed to obtain a faithful…
We present for the first time an asymptotic convergence analysis of two time-scale stochastic approximation driven by "controlled" Markov noise. In particular, the faster and slower recursions have non-additive controlled Markov noise…
In this paper we study a nonconvex-strongly-concave constrained minimax problem. Specifically, we propose a first-order augmented Lagrangian method for solving it, whose subproblems are nonconvex-strongly-concave unconstrained minimax…