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We consider a setting involving $N$ agents, where each agent interacts with an environment modeled as a Markov Decision Process (MDP). The agents' MDPs differ in their reward functions, capturing heterogeneous objectives/tasks. The…
This study treats transmission scheduling for remote state estimation over unreliable channels with a hidden mode. A local Kalman estimator selects scheduling actions, such as power allocation and resource usage, and communicates with a…
In this paper, we study the problem of \textit{constrained} and \textit{stochastic} continuous submodular maximization. Even though the objective function is not concave (nor convex) and is defined in terms of an expectation, we develop a…
In this paper, a distributed stochastic gradient (SG) algorithm is proposed where the estimators are aimed to collectively estimate an unknown time-invariant parameter from a set of noisy measurements obtained by distributed sensors. The…
Interesting theoretical associations have been established by recent papers between the fields of active learning and stochastic convex optimization due to the common role of feedback in sequential querying mechanisms. In this paper, we…
We propose a novel hybrid stochastic policy gradient estimator by combining an unbiased policy gradient estimator, the REINFORCE estimator, with another biased one, an adapted SARAH estimator for policy optimization. The hybrid policy…
Stochastic binary hidden units in a multi-layer perceptron (MLP) network give at least three potential benefits when compared to deterministic MLP networks. (1) They allow to learn one-to-many type of mappings. (2) They can be used in…
Multi-objective optimization models that encode ordered sequential constraints provide a solution to model various challenging problems including encoding preferences, modeling a curriculum, and enforcing measures of safety. A recently…
To overcome the curse of dimensionality and curse of modeling in Dynamic Programming (DP) methods for solving classical Markov Decision Process (MDP) problems, Reinforcement Learning (RL) algorithms are popular. In this paper, we consider…
The performance of stochastic gradient descent (SGD) depends critically on how learning rates are tuned and decreased over time. We propose a method to automatically adjust multiple learning rates so as to minimize the expected error at any…
Motivated by the super-diffusivity of self-repelling random walk, which has roots in statistical physics, this paper develops a new perturbation mechanism for optimization algorithms. In this mechanism, perturbations are adapted to the…
This paper introduces a new proximal stochastic gradient method with variance reduction and stabilization for minimizing the sum of a convex stochastic function and a group sparsity-inducing regularization function. Since the method may be…
Stochastic gradient descent (SGD) is a powerful optimization technique that is particularly useful in online learning scenarios. Its convergence analysis is relatively well understood under the assumption that the data samples are…
In this paper, we study distributed stochastic optimization to minimize a sum of smooth and strongly-convex local cost functions over a network of agents, communicating over a strongly-connected graph. Assuming that each agent has access to…
We introduce a novel algorithm for gradient-based optimization of stochastic objective functions. The method may be seen as a variant of SGD with momentum equipped with an adaptive learning rate automatically adjusted by an 'energy'…
We present a model-free reinforcement learning algorithm to find an optimal policy for a finite-horizon Markov decision process while guaranteeing a desired lower bound on the probability of satisfying a signal temporal logic (STL)…
In this paper, we consider the general non-oblivious stochastic optimization where the underlying stochasticity may change during the optimization procedure and depends on the point at which the function is evaluated. We develop Stochastic…
We study reward maximisation in a wide class of structured stochastic multi-armed bandit problems, where the mean rewards of arms satisfy some given structural constraints, e.g. linear, unimodal, sparse, etc. Our aim is to develop methods…
Neural network has attracted great attention for a long time and many researchers are devoted to improve the effectiveness of neural network training algorithms. Though stochastic gradient descent (SGD) and other explicit gradient-based…
The stochastic gradient descent (SGD) method is a widely used approach for solving stochastic optimization problems, but its convergence is typically slow. Existing variance reduction techniques, such as SAGA, improve convergence by…