Related papers: MirrorCBO: A consensus-based optimization method i…
Online learning algorithms are fast, memory-efficient, easy to implement, and applicable to many prediction problems, including classification, regression, and ranking. Several online algorithms were proposed in the past few decades, some…
This work addresses decentralized online optimization in non-stationary environments. A network of agents aim to track the minimizer of a global time-varying convex function. The minimizer evolves according to a known dynamics corrupted by…
We study the implicit bias of generic optimization methods, such as mirror descent, natural gradient descent, and steepest descent with respect to different potentials and norms, when optimizing underdetermined linear regression or…
We propose a new discretization of the mirror-Langevin diffusion and give a crisp proof of its convergence. Our analysis uses relative convexity/smoothness and self-concordance, ideas which originated in convex optimization, together with a…
Distributed optimization aims to optimize a global objective formed by a sum of coupled local convex functions over a graph via only local computation and communication. In this paper, we propose the Bregman parallel direction method of…
We propose a new policy gradient method, named homotopic policy mirror descent (HPMD), for solving discounted, infinite horizon MDPs with finite state and action spaces. HPMD performs a mirror descent type policy update with an additional…
In the paper, we develop a composite version of Mirror Prox algorithm for solving convex-concave saddle point problems and monotone variational inequalities of special structure, allowing to cover saddle point/variational analogies of what…
We generalize stochastic subgradient descent methods to situations in which we do not receive independent samples from the distribution over which we optimize, but instead receive samples that are coupled over time. We show that as long as…
We consider the optimization problem of minimizing an objective functional, which admits a variational form and is defined over probability distributions on the constrained domain, which poses challenges to both theoretical analysis and…
Policy optimization, which finds the desired policy by maximizing value functions via optimization techniques, lies at the heart of reinforcement learning (RL). In addition to value maximization, other practical considerations arise as…
We present a new perspective on the celebrated Sinkhorn algorithm by showing that is a special case of incremental/stochastic mirror descent. In order to see this, one should simply plug Kullback-Leibler divergence in both mirror map and…
Multi-objective Bayesian optimization (MOBO) provides a principled framework for optimizing expensive black-box functions with multiple objectives. However, existing MOBO methods often struggle with coverage, scalability with respect to the…
Learning-to-optimize is an emerging framework that leverages training data to speed up the solution of certain optimization problems. One such approach is based on the classical mirror descent algorithm, where the mirror map is modelled…
Dual decomposition has been successfully employed in a variety of distributed convex optimization problems solved by a network of computing and communicating nodes. Often, when the cost function is separable but the constraints are coupled,…
This paper considers the distributed online convex-concave optimization with constraint sets over a multiagent network, in which each agent autonomously generates a series of decision pairs through a designable mechanism to cooperatively…
This paper examines a variety of classical optimization problems, including well-known minimization tasks and more general variational inequalities. We consider a stochastic formulation of these problems, and unlike most previous work, we…
We study a stochastic optimization problem in which the sampling distribution depends on the decision variable, and the available samples are generated through an iterate-dependent Markov chain. Such settings arise naturally in problems…
In this paper, the optimal convergence rate $O\left(N^{-1/2}\right)$ (where $N$ is the total number of iterations performed by the algorithm), without the presence of a logarithmic factor, is proved for mirror descent algorithms with…
Optimizing objectives under constraints, where both the objectives and constraints are black box functions, is a common scenario in real-world applications such as scientific experimental design, design of medical therapies, and industrial…
Policy optimization methods like Group Relative Policy Optimization (GRPO) and its variants have achieved strong results on mathematical reasoning and code generation tasks. Despite extensive exploration of reward processing strategies and…