Related papers: Convergence of Sign-based Random Reshuffling Algor…

Optimal Transport (OT) based distances are powerful tools for machine learning to compare probability measures and manipulate them using OT maps. In this field, a setting of interest is semi-discrete OT, where the source measure $\mu$ is…

A lot of effort has been invested into characterizing the convergence rates of gradient based algorithms for non-linear convex optimization. Recently, motivated by large datasets and problems in machine learning, the interest has shifted…

In this work we investigate stochastic non-convex optimization problems where the objective is an expectation over smooth loss functions, and the goal is to find an approximate stationary point. The most popular approach to handling such…

We study the problem of solving strongly convex and smooth unconstrained optimization problems using stochastic first-order algorithms. We devise a novel algorithm, referred to as Recursive One-Over-T SGD (ROOT-SGD), based on an easily…

Balancing the trade-off between safety and efficiency is of significant importance for path planning under uncertainty. Many risk-aware path planners have been developed to explicitly limit the probability of collision to an acceptable…

We prove novel convergence results for a stochastic proximal gradient algorithm suitable for solving a large class of convex optimization problems, where a convex objective function is given by the sum of a smooth and a possibly non-smooth…

Adam has proven remarkable successful in training deep neural networks, but the mechanisms underlying its empirical successes and limitations remain underexplored. In this study, we demonstrate that the effectiveness of Adam stems largely…

This paper investigates to what extent one can improve reinforcement learning algorithms. Our study is split in three parts. First, our analysis shows that the classical asymptotic convergence rate $O(1/\sqrt{N})$ is pessimistic and can be…

Shuffling is the process of rearranging a sequence of elements into a random order such that any permutation occurs with equal probability. It is an important building block in a plethora of techniques used in virtually all scientific…

There has been a growing effort in studying the distributed optimization problem over a network. The objective is to optimize a global function formed by a sum of local functions, using only local computation and communication. Literature…

From adversarial robustness to multi-agent learning, many machine learning tasks can be cast as finite-sum min-max optimization or, more generally, as variational inequality problems (VIPs). Owing to their simplicity and scalability,…

Adam is widely adopted in practical applications due to its fast convergence. However, its theoretical analysis is still far from satisfactory. Existing convergence analyses for Adam rely on the bounded smoothness assumption, referred to as…

Stochastic gradient descent (SGD) and its variants are the main workhorses for solving large-scale optimization problems with nonconvex objective functions. Although the convergence of SGDs in the (strongly) convex case is well-understood,…

The low-rank stochastic semidefinite optimization has attracted rising attention due to its wide range of applications. The nonconvex reformulation based on the low-rank factorization, significantly improves the computational efficiency but…

Our work focuses on stochastic gradient methods for optimizing a smooth non-convex loss function with a non-smooth non-convex regularizer. Research on this class of problem is quite limited, and until recently no non-asymptotic convergence…

Adaptive gradient methods such as RMSProp and Adam use exponential moving estimate of the squared gradient to compute adaptive step sizes, achieving better convergence than SGD in face of noisy objectives. However, Adam can have undesirable…

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…

In convex optimization, the problem of finding near-stationary points has not been adequately studied yet, unlike other optimality measures such as the function value. Even in the deterministic case, the optimal method (OGM-G, due to Kim…

In distributed training of deep neural networks, people usually run Stochastic Gradient Descent (SGD) or its variants on each machine and communicate with other machines periodically. However, SGD might converge slowly in training some deep…

Recently, many variance reduced stochastic alternating direction method of multipliers (ADMM) methods (e.g.\ SAG-ADMM, SDCA-ADMM and SVRG-ADMM) have made exciting progress such as linear convergence rates for strongly convex problems.…