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Motivated by their broad applications in reinforcement learning, we study the linear two-time-scale stochastic approximation, an iterative method using two different step sizes for finding the solutions of a system of two equations. Our…
We give a sketching-based iterative algorithm that computes a $1+\varepsilon$ approximate solution for the ridge regression problem $\min_x \|Ax-b\|_2^2 +\lambda\|x\|_2^2$ where $A \in R^{n \times d}$ with $d \ge n$. Our algorithm, for a…
Randomized subspace embedding methods have had a great impact on the solution of a linear least squares (LS) problem by reducing its row dimension, leading to a randomized or sketched LS (sLS) problem, and use the solution of the sLS…
There is a recent interest on first-order methods for linear programming (LP). In this paper,we propose a stochastic algorithm using variance reduction and restarts for solving sharp primal-dual problems such as LP. We show that the…
We propose a stochastic approximation method for approximating the efficient frontier of chance-constrained nonlinear programs. Our approach is based on a bi-objective viewpoint of chance-constrained programs that seeks solutions on the…
In this paper, we investigate a class of non-convex sum-of-ratios programs relevant to decision-making in key areas such as product assortment and pricing, and facility location and cost planning. These optimization problems, characterized…
A sequential quadratic programming method is designed for solving general smooth nonlinear stochastic optimization problems subject to expectation equality constraints. We consider the setting where the objective and constraint function…
Machine learning algorithms in high-dimensional settings are highly susceptible to the influence of even a small fraction of structured outliers, making robust optimization techniques essential. In particular, within the…
An algorithm which computes a solution of a set optimization problem is provided. The graph of the objective map is assumed to be given by finitely many linear inequalities. A solution is understood to be a set of points in the domain…
We propose a scalable, efficient and statistically motivated computational framework for Graphical Lasso (Friedman et al., 2007b) - a covariance regularization framework that has received significant attention in the statistics community…
Space-efficient streaming estimation of quantiles in massive datasets is a fundamental problem with numerous applications in data monitoring and analysis. While theoretical research led to optimal algorithms, such as the Greenwald-Khanna…
We consider the problem of extracting a maximum-size reflected network in a linear program. This problem has been studied before and a state-of-the-art SGA heuristic with two variations have been proposed. In this paper we apply a new…
Current bundle adjustment solvers such as the Levenberg-Marquardt (LM) algorithm are limited by the bottleneck in solving the Reduced Camera System (RCS) whose dimension is proportional to the camera number. When the problem is scaled up,…
We consider a class of linear programs on graphs with total variation regularization and a budgetary constraint. For these programs, we give a characterization of basic solutions in terms of rooted spanning forests with orientation on the…
Sketching techniques have become popular for scaling up machine learning algorithms by reducing the sample size or dimensionality of massive data sets, while still maintaining the statistical power of big data. In this paper, we study…
Two-stage stochastic optimization is a framework for modeling uncertainty, where we have a probability distribution over possible realizations of the data, called scenarios, and decisions are taken in two stages: we make first-stage…
We develop an algorithm for estimating the values of a vector x in R^n over a support S of size k from a randomized sparse binary linear sketch Ax of size O(k). Given Ax and S, we can recover x' with ||x' - x_S||_2 <= eps ||x - x_S||_2 with…
We develop new stochastic gradient methods for efficiently solving sparse linear regression in a partial attribute observation setting, where learners are only allowed to observe a fixed number of actively chosen attributes per example at…
Many learning tasks, such as cross-validation, parameter search, or leave-one-out analysis, involve multiple instances of similar problems, each instance sharing a large part of learning data with the others. We introduce a robust framework…
In this paper, we focus on activating only a few sensors, among many available, to estimate the state of a stochastic process of interest. This problem is important in applications such as target tracking and simultaneous localization and…