Related papers: Parameter-free projected gradient descent
We study projection-free methods for functional constrained optimization with convex or smooth nonconvex objectives. Such problems arise in applications such as portfolio optimization and radiation therapy planning, where risk-aware…
We propose a new variant of AMSGrad, a popular adaptive gradient based optimization algorithm widely used for training deep neural networks. Our algorithm adds prior knowledge about the sequence of consecutive mini-batch gradients and…
Adaptive gradient methods such as Adam have gained extreme popularity due to their success in training complex neural networks and less sensitivity to hyperparameter tuning compared to SGD. However, it has been recently shown that Adam can…
In this work, we are concerned with the decentralized optimization problem: \begin{equation*} \min_{x \in \Omega}~f(x) = \frac{1}{n} \sum_{i=1}^n f_i (x), \end{equation*} where $\Omega \subset \mathbb{R}^d$ is a convex domain and each $f_i…
The gradient descent-ascent (GDA) algorithm has been widely applied to solve minimax optimization problems. In order to achieve convergent policy parameters for minimax optimization, it is important that GDA generates convergent variable…
This paper introduces an iterative algorithm for training nonparametric additive models that enjoys favorable memory storage and computational requirements. The algorithm can be viewed as the functional counterpart of stochastic gradient…
We provide new adaptive first-order methods for constrained convex optimization. Our main algorithms AdaACSA and AdaAGD+ are accelerated methods, which are universal in the sense that they achieve nearly-optimal convergence rates for both…
This paper presents a novel algorithm that leverages Stochastic Gradient Descent strategies in conjunction with Random Features to augment the scalability of Conic Particle Gradient Descent (CPGD) specifically tailored for solving sparse…
Stochastic gradient descent (SGD) is a widely adopted iterative method for optimizing differentiable objective functions. In this paper, we propose and discuss a novel approach to scale up SGD in applications involving non-convex functions…
Using gradient descent (GD) with fixed or decaying step-size is a standard practice in unconstrained optimization problems. However, when the loss function is only locally convex, such a step-size schedule artificially slows GD down as it…
The performance of gradient-based optimization methods, such as standard gradient descent (GD), greatly depends on the choice of learning rate. However, it can require a non-trivial amount of user tuning effort to select an appropriate…
Stochastic Gradient Descent (SGD) and its variants are the most used algorithms in machine learning applications. In particular, SGD with adaptive learning rates and momentum is the industry standard to train deep networks. Despite the…
We develop a modified online mirror descent framework that is suitable for building adaptive and parameter-free algorithms in unbounded domains. We leverage this technique to develop the first unconstrained online linear optimization…
Variance reduction (VR) methods for finite-sum minimization typically require the knowledge of problem-dependent constants that are often unknown and difficult to estimate. To address this, we use ideas from adaptive gradient methods to…
Gradient descent is an important class of iterative algorithms for minimizing convex functions. Classically, gradient descent has been a sequential and synchronous process. Distributed and asynchronous variants of gradient descent have been…
Stochastic gradient descent (SGD) is a simple and popular method to solve stochastic optimization problems which arise in machine learning. For strongly convex problems, its convergence rate was known to be O(\log(T)/T), by running SGD for…
In this paper, we propose a new inexact version of the projected subgradient method to solve nondifferentiable constrained convex optimization problems. The method combine $\epsilon$-subgradient method with a procedure to obtain a feasible…
In this paper, we propose projected gradient descent (PGD) algorithms for signal estimation from noisy nonlinear measurements. We assume that the unknown $p$-dimensional signal lies near the range of an $L$-Lipschitz continuous generative…
Stochastic Gradient Descent (SGD) is one of the simplest and most popular stochastic optimization methods. While it has already been theoretically studied for decades, the classical analysis usually required non-trivial smoothness…
We consider the problem of maximizing a convex function over a closed convex set in a real Hilbert space. For linear functions, we show that a single orthogonal projection suffices to obtain an approximate solution. For continuous convex…