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We propose a sampling algorithm that achieves superior complexity bounds in all the classical settings (strongly log-concave, log-concave, Logarithmic-Sobolev inequality (LSI), Poincar\'e inequality) as well as more general settings with…
In stochastic convex optimization problems, most existing adaptive methods rely on prior knowledge about the diameter bound $D$ when the smoothness or the Lipschitz constant is unknown. This often significantly affects performance as only a…
We present efficient counting and sampling algorithms for random $k$-SAT when the clause density satisfies $\alpha \le \frac{2^k}{\mathrm{poly}(k)}.$ In particular, the exponential term $2^k$ matches the satisfiability threshold…
Forecasting entails a complex estimation challenge, as it requires balancing multiple, often conflicting, priorities and objectives. Traditional forecast optimization criteria typically focus on a single metric -- such as minimizing the…
Discrete time analogues of ergodic stochastic differential equations (SDEs) are one of the most popular and flexible tools for sampling high-dimensional probability measures. Non-asymptotic analysis in the $L^2$ Wasserstein distance of…
We study randomized algorithms for constrained optimization, in abstract frameworks that include, in strictly increasing generality: convex programming; LP-type problems; violator spaces; and a setting we introduce, consistent spaces. Such…
Stochastic approximation (SA) is an iterative algorithm for finding the fixed point of an operator using noisy samples and widely used in optimization and Reinforcement Learning (RL). The noise in RL exhibits a Markovian structure, and in…
A new framework is introduced for examining and evaluating the fundamental limits of lossless data compression, that emphasizes genuinely non-asymptotic results. The {\em sample complexity} of compressing a given source is defined as the…
In stochastic convex optimization the goal is to minimize a convex function $F(x) \doteq {\mathbf E}_{{\mathbf f}\sim D}[{\mathbf f}(x)]$ over a convex set $\cal K \subset {\mathbb R}^d$ where $D$ is some unknown distribution and each…
We introduce and analyse a new nonparametric estimator of a multi-dimensional density. Our smooth projection estimator (SPE) is defined by a least squares projection of the sample onto an infinite dimensional mixture class via an…
Random constraint satisfaction problems (CSPs) such as random $3$-SAT are conjectured to be computationally intractable. The average case hardness of random $3$-SAT and other CSPs has broad and far-reaching implications on problems in…
This paper revisits the convergence of Stochastic Mirror Descent (SMD) in the contemporary nonconvex optimization setting. Existing results for batch-free nonconvex SMD restrict the choice of the distance generating function (DGF) to be…
We study the problem of overcoming exponential sample complexity in differential entropy estimation under Gaussian convolutions. Specifically, we consider the estimation of the differential entropy $h(X+Z)$ via $n$ independently and…
This paper provides a non-asymptotic analysis of linear stochastic approximation (LSA) algorithms with fixed stepsize. This family of methods arises in many machine learning tasks and is used to obtain approximate solutions of a linear…
Contemporary domain adaptation methods are very effective at aligning feature distributions of source and target domains without any target supervision. However, we show that these techniques perform poorly when even a few labeled examples…
We study uncertainty quantification for contextual stochastic optimization, focusing on weighted sample average approximation (wSAA), which uses machine-learned relevance weights based on covariates. Although wSAA is widely used for…
We introduce a new sample complexity measure, which we refer to as split-sample growth rate. For any hypothesis $H$ and for any sample $S$ of size $m$, the split-sample growth rate $\hat{\tau}_H(m)$ counts how many different hypotheses can…
Sign-Perturbed Sum (SPS) is a powerful finite-sample system identification algorithm which can construct confidence regions for the true data generating system with exact coverage probabilities, for any finite sample size. SPS was developed…
Successive quadratic approximations (SQA) are numerically efficient for minimizing the sum of a smooth function and a convex function. The iteration complexity of inexact SQA methods has been analyzed recently. In this paper, we present an…
We give a fast algorithm for sampling uniform solutions of general constraint satisfaction problems (CSPs) in a local lemma regime. Suppose that the CSP has $n$ variables with domain size at most q, each constraint contains at most k…