Related papers: On the Convergence of L-shaped Algorithms for Two-…

Two-stage stochastic linear optimization is known to be #P-hard when all involved random variables are independently and uniformly distributed over intervals, even with fixed recourse. We show that this problem is actually #P-hard in the…

Stochastic optimisation algorithms are the de facto standard for machine learning with large amounts of data. Handling only a subset of available data in each optimisation step dramatically reduces the per-iteration computational costs,…

Community detection is a fundamental statistical problem in network data analysis. Many algorithms have been proposed to tackle this problem. Most of these algorithms are not guaranteed to achieve the statistical optimality of the problem,…

We propose a new algorithm for solving multistage stochastic mixed integer linear programming (MILP) problems with complete continuous recourse. In a similar way to cutting plane methods, we construct nonlinear Lipschitz cuts to build lower…

This paper is devoted to a new modification of a recently proposed adaptive stochastic mirror descent algorithm for constrained convex optimization problems in the case of several convex functional constraints. Algorithms, standard and its…

We consider an online two-stage stochastic optimization with long-term constraints over a finite horizon of $T$ periods. At each period, we take the first-stage action, observe a model parameter realization and then take the second-stage…

We develop a gradient-like algorithm to minimize a sum of peer objective functions based on coordination through a peer interconnection network. The coordination admits two stages: the first is to constitute a gradient, possibly with…

The performance of standard stochastic approximation implementations can vary significantly based on the choice of the steplength sequence, and in general, little guidance is provided about good choices. Motivated by this gap, in the first…

We consider a stochastic version of the proximal point algorithm for optimization problems posed on a Hilbert space. A typical application of this is supervised learning. While the method is not new, it has not been extensively analyzed in…

We consider minimization of stochastic functionals that are compositions of a (potentially) non-smooth convex function $h$ and smooth function $c$ and, more generally, stochastic weakly-convex functionals. We develop a family of stochastic…

It has been found that stochastic algorithms often find good solutions much more rapidly than inherently-batch approaches. Indeed, a very useful rule of thumb is that often, when solving a machine learning problem, an iterative technique…

Two-time-scale stochastic approximation (SA) is an algorithm with coupled iterations which has found broad applications in reinforcement learning, optimization and game control. In this work, we derive mean squared error bounds for…

We develop a stochastic approximation-type algorithm to solve finite state/action, infinite-horizon, risk-aware Markov decision processes. Our algorithm has two loops. The inner loop computes the risk by solving a stochastic saddle-point…

The subgradient method is one of the most fundamental algorithmic schemes for nonsmooth optimization. The existing complexity and convergence results for this method are mainly derived for Lipschitz continuous objective functions. In this…

A stochastic iterative algorithm approximating second-order information using von Neumann series is discussed. We present convergence guarantees for strongly-convex and smooth functions. Our analysis is much simpler in contrast to a similar…

Adaptive Partition-based Methods (APM) are numerical methods to solve two-stage stochastic linear problems (2SLP). The core idea is to iteratively construct an adapted partition of the space of alea in order to aggregate scenarios while…

We develop new algorithms for Riemannian bilevel optimization. We focus in particular on batch and stochastic gradient-based methods, with the explicit goal of avoiding second-order information such as Riemannian hyper-gradients. We propose…

This paper analyzes a two-timescale stochastic algorithm framework for bilevel optimization. Bilevel optimization is a class of problems which exhibit a two-level structure, and its goal is to minimize an outer objective function with…

In this paper, a distributed stochastic approximation algorithm is studied. Applications of such algorithms include decentralized estimation, optimization, control or computing. The algorithm consists in two steps: a local step, where each…

We develop a novel and single-loop variance-reduced algorithm to solve a class of stochastic nonconvex-convex minimax problems involving a nonconvex-linear objective function, which has various applications in different fields such as…