Related papers: Sketching for Convex and Nonconvex Regularized Lea…

This paper focuses on stochastic proximal gradient methods for optimizing a smooth non-convex loss function with a non-smooth non-convex regularizer and convex constraints. To the best of our knowledge we present the first non-asymptotic…

We propose a new framework for analyzing zeroth-order optimization (ZOO) from the perspective of \emph{oblivious randomized sketching}.In this framework, commonly used gradient estimators in ZOO-such as finite difference (FD) and random…

This paper introduces an abstract framework for randomized subspace correction methods for convex optimization, which unifies and generalizes a broad class of existing algorithms, including domain decomposition, multigrid, and block…

We propose a sample efficient stochastic variance-reduced cubic regularization (Lite-SVRC) algorithm for finding the local minimum efficiently in nonconvex optimization. The proposed algorithm achieves a lower sample complexity of Hessian…

Based on sketching techniques, we propose two randomized algorithms for tensor ring (TR) decomposition. Specifically, by defining new tensor products and investigating their properties, we apply the Kronecker sub-sampled randomized Fourier…

We introduce a "learning-based" algorithm for the low-rank decomposition problem: given an $n \times d$ matrix $A$, and a parameter $k$, compute a rank-$k$ matrix $A'$ that minimizes the approximation loss $\|A-A'\|_F$. The algorithm uses a…

In second-order optimization, a potential bottleneck can be computing the Hessian matrix of the optimized function at every iteration. Randomized sketching has emerged as a powerful technique for constructing estimates of the Hessian which…

We develop a sketching algorithm to find the point on the convex hull of a dataset, closest to a query point outside it. Studying the convex hull of datasets can provide useful information about their geometric structure and their…

Cubic regularization (CR) is an optimization method with emerging popularity due to its capability to escape saddle points and converge to second-order stationary solutions for nonconvex optimization. However, CR encounters a high sample…

In this paper, we propose new sequential randomized algorithms for convex optimization problems in the presence of uncertainty. A rigorous analysis of the theoretical properties of the solutions obtained by these algorithms, for full…

We propose a stochastic variance reduced optimization algorithm for solving sparse learning problems with cardinality constraints. Sufficient conditions are provided, under which the proposed algorithm enjoys strong linear convergence…

We consider the problem of recovering an $n_1 \times n_2$ low-rank matrix with $k$-sparse singular vectors from a small number of linear measurements (sketch). We propose a sketching scheme and an algorithm that can recover the singular…

We consider stochastic approximation for the least squares regression problem in the non-strongly convex setting. We present the first practical algorithm that achieves the optimal prediction error rates in terms of dependence on the noise…

We study matrix sketching methods for regularized variants of linear regression, low rank approximation, and canonical correlation analysis. Our main focus is on sketching techniques which preserve the objective function value for…

Inspired by regularization techniques in statistics and machine learning, we study complementary composite minimization in the stochastic setting. This problem corresponds to the minimization of the sum of a (weakly) smooth function endowed…

Random sketching is a dimensionality reduction technique that approximately preserves norms and singular values up to some $O(1)$ distortion factor with high probability. The most popular sketches in literature are the Gaussian sketch and…

Feature selection in learning to rank has recently emerged as a crucial issue. Whereas several preprocessing approaches have been proposed, only a few works have been focused on integrating the feature selection into the learning process.…

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…

Optimization models with non-convex constraints arise in many tasks in machine learning, e.g., learning with fairness constraints or Neyman-Pearson classification with non-convex loss. Although many efficient methods have been developed…

We consider the problem of minimizing a sum of several convex non-smooth functions. We introduce a new algorithm called the selective linearization method, which iteratively linearizes all but one of the functions and employs simple…