Related papers: The case for and against fixed step-size: Stochast…
We consider the traffic control problem of dynamic routing over parallel servers, which arises in a variety of engineering systems such as transportation and data transmission. We propose a semi-gradient, on-policy algorithm that learns an…
In this paper we extend the parametric sensitivity analysis (SA) methodology proposed in Ref. [Y. Pantazis and M. A. Katsoulakis, J. Chem. Phys. 138, 054115 (2013)] to continuous time and continuous space Markov processes represented by…
We consider a step search method for continuous optimization under a stochastic setting where the function values and gradients are available only through inexact probabilistic zeroth- and first-order oracles. Unlike the stochastic gradient…
In this paper, we propose and analyze a trust-region model-based algorithm for solving unconstrained stochastic optimization problems. Our framework utilizes random models of an objective function $f(x)$, obtained from stochastic…
We propose two approaches, based on Riemannian optimization, for computing a stochastic approximation of the $p$th root of a stochastic matrix $A$. In the first approach, the approximation is found in the Riemannian manifold of positive…
This paper proposes the first-ever algorithmic framework for tuning hyper-parameters of stochastic optimization algorithm based on reinforcement learning. Hyper-parameters impose significant influences on the performance of stochastic…
We investigate sample average approximation (SAA) for two-stage stochastic programs without relatively complete recourse, i.e., for problems in which there are first-stage feasible solutions that are not guaranteed to have a feasible…
We provide a new understanding of the stochastic gradient bandit algorithm by showing that it converges to a globally optimal policy almost surely using \emph{any} constant learning rate. This result demonstrates that the stochastic…
In machine learning applications, it is well known that carefully designed learning rate (step size) schedules can significantly improve the convergence of commonly used first-order optimization algorithms. Therefore how to set step size…
Motivated by the desire to understand stochastic algorithms for nonconvex optimization that are robust to their hyperparameter choices, we analyze a mini-batched prox-linear iterative algorithm for the problem of recovering an unknown…
In this paper, we propose a StochAstic Recursive grAdient algoritHm (SARAH), as well as its practical variant SARAH+, as a novel approach to the finite-sum minimization problems. Different from the vanilla SGD and other modern stochastic…
In the stochastic matching problem, we are given a general (not necessarily bipartite) graph $G(V,E)$, where each edge in $E$ is realized with some constant probability $p > 0$ and the goal is to compute a bounded-degree (bounded by a…
The Gaussian Elimination with Partial Pivoting (GEPP) is a classical algorithm for solving systems of linear equations. Although in specific cases the loss of precision in GEPP due to roundoff errors can be very significant, empirical…
We consider the problem of estimating the asymptotic variance of a function defined on a Markov chain, an important step for statistical inference of the stationary mean. We design a novel recursive estimator that requires $O(1)$…
This paper concerns error bounds for recursive equations subject to Markovian disturbances. Motivating examples abound within the fields of Markov chain Monte Carlo (MCMC) and Reinforcement Learning (RL), and many of these algorithms can be…
We consider stochastic optimization problems with non-convex functional constraints, such as those arising in trajectory generation, sparse approximation, and robust classification. To this end, we put forth a recursive momentum-based…
This paper considers stochastic optimization problems for a large class of objective functions, including convex and continuous submodular. Stochastic proximal gradient methods have been widely used to solve such problems; however, their…
Stochastic gradient (SG) methods are fundamental to system identification and machine learning, enabling online parameter estimation in large-scale and streaming-data settings. As a classical identification method, the SG algorithm has been…
Due to the limited number of bits in floating-point or fixed-point arithmetic, rounding is a necessary step in many computations. Although rounding methods can be tailored for different applications, round-off errors are generally…
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…