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Online learning algorithms require to often recompute least squares regression estimates of parameters. We study improving the computational complexity of such algorithms by using stochastic gradient descent (SGD) type schemes in place of…
Machine learning, especially deep neural networks, has been rapidly developed in fields including computer vision, speech recognition and reinforcement learning. Although Mini-batch SGD is one of the most popular stochastic optimization…
Stochastic gradient descent (SGD) and its variants are widely used and highly effective optimization methods in machine learning, especially for neural network training. By using a single datum or a small subset of the data, selected…
In this paper, we investigate the theoretical properties of stochastic gradient descent (SGD) for statistical inference in the context of nonconvex optimization problems, which have been relatively unexplored compared to convex settings.…
In this paper we aim to formally explain the phenomenon of fast convergence of SGD observed in modern machine learning. The key observation is that most modern learning architectures are over-parametrized and are trained to interpolate the…
Stochastic gradient descent (SGD) is a pillar of modern machine learning, serving as the go-to optimization algorithm for a diverse array of problems. While the empirical success of SGD is often attributed to its computational efficiency…
We study the regret performance of Sample Average Approximation (SAA) for data-driven newsvendor problems with general convex inventory costs. In literature, the optimality of SAA has not been fully established under both \alpha-global…
This work revisits standard policy gradient methods used on restricted policy classes, which are known to get stuck in suboptimal critical points. We identify an important cause for this phenomenon to be that the policy gradient is itself…
Optimization objectives in the form of a sum of intractable expectations are rising in importance (e.g., diffusion models, variational autoencoders, and many more), a setting also known as "finite sum with infinite data." For these…
Recent work has established an empirically successful framework for adapting learning rates for stochastic gradient descent (SGD). This effectively removes all needs for tuning, while automatically reducing learning rates over time on…
Online reinforcement learning in infinite-horizon Markov decision processes (MDPs) remains less theoretically and algorithmically developed than its episodic counterpart, with many algorithms suffering from high ``burn-in'' costs and…
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…
Stochastic Gradient Descent (SGD) is a central tool in machine learning. We prove that SGD converges to zero loss, even with a fixed (non-vanishing) learning rate - in the special case of homogeneous linear classifiers with smooth monotone…
We propose a general yet simple theorem describing the convergence of SGD under the arbitrary sampling paradigm. Our theorem describes the convergence of an infinite array of variants of SGD, each of which is associated with a specific…
Distance metric learning (DML) is an important task that has found applications in many domains. The high computational cost of DML arises from the large number of variables to be determined and the constraint that a distance metric has to…
Multi-agent systems are being increasingly deployed in challenging environments for performing complex tasks such as multi-target tracking, search-and-rescue, and intrusion detection. Notwithstanding the computational limitations of…
Stream stochastic gradient descent (SGD) is a simple and efficient method for solving online optimization problems in operations research (OR), where data is generated by parameter-dependent Markov chains. Unlike traditional approaches…
Many problems encountered in science and engineering can be formulated as estimating a low-rank object (e.g., matrices and tensors) from incomplete, and possibly corrupted, linear measurements. Through the lens of matrix and tensor…
We develop a stochastic inventory system which accounts for the limited patience of backlogged customers. While limited patience is a feature that is closer to the nature of unmet demand, our model also unifies the classic backlogging and…
Stochastic gradient descent (SGD) is one of the most widely used optimization methods for solving various machine learning problems. SGD solves an optimization problem by iteratively sampling a few data points from the input data, computing…