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We analyze a stochastic approximation algorithm for decision-dependent problems, wherein the data distribution used by the algorithm evolves along the iterate sequence. The primary examples of such problems appear in performative prediction…
Two-time-scale Stochastic Approximation (SA) is an iterative algorithm with applications in reinforcement learning and optimization. Prior finite time analysis of such algorithms has focused on fixed point iterations with mappings…
Smolyak's method, also known as hyperbolic cross approximation or sparse grid method, is a powerful tool to tackle multivariate tensor product problems solely with the help of efficient algorithms for the corresponding univariate problem.…
This paper studies linear stochastic approximation (SA) algorithms and their application to multi-agent systems in engineering and sociology. As main contribution, we provide necessary and sufficient conditions for convergence of linear SA…
Algorithmic stability is a classical approach to understanding and analysis of the generalization error of learning algorithms. A notable weakness of most stability-based generalization bounds is that they hold only in expectation.…
Nonlinear robust optimization (NRO) is widely used in different applications, including energy, control, and economics, to make robust decisions under uncertainty. One of the classical solution methods in NRO is an outer approximation…
Over the last several decades, improvements in the fields of analytic combinatorics and computer algebra have made determining the asymptotic behaviour of sequences satisfying linear recurrence relations with polynomial coefficients largely…
We analyze the tail behavior of solutions to sample average approximations (SAAs) of stochastic programs posed in Hilbert spaces. We require that the integrand be strongly convex with the same convexity parameter for each realization.…
Many statistical problems involve mixture models and the need for computationally efficient methods to estimate the mixing distribution has increased dramatically in recent years. Newton [Sankhya Ser. A 64 (2002) 306--322] proposed a fast…
This paper concerns a high-dimensional stochastic programming problem of minimizing a function of expected cost with a matrix argument. To this problem, one of the most widely applied solution paradigms is the sample average approximation…
In this paper, a distributed stochastic approximation algorithm is studied. Applications of such algorithms include decentralized estimation, optimization, control or computing. The algorithm consists in two steps: a local step, where each…
Linear fixed point equations in Hilbert spaces arise in a variety of settings, including reinforcement learning, and computational methods for solving differential and integral equations. We study methods that use a collection of random…
The success of deep learning has led to a rising interest in the generalization property of the stochastic gradient descent (SGD) method, and stability is one popular approach to study it. Existing works based on stability have studied…
A distributed average consensus algorithm in which every sensor transmits with bounded peak power is proposed. In the presence of communication noise, it is shown that the nodes reach consensus asymptotically to a finite random variable…
In this work, we analyze the convergence of Polyak's heavy ball method in both continuous and discrete time for non-convex $C^4$-objective functions satisfying the Polyak-Lojasiewicz inequality. Under this weak assumption, we recover the…
Stochastic gradient descent (SGD) is a foundational algorithm for large-scale statistical learning and stochastic optimization. However, statistical inference based on SGD iterates remains challenging when stochastic gradients have infinite…
This work analyzes the stochastic approximation algorithm with non-decaying gains as applied in time-varying problems. The setting is to minimize a sequence of scalar-valued loss functions $f_k(\cdot)$ at sampling times $\tau_k$ or to…
Areas under ROC (AUROC) and precision-recall curves (AUPRC) are common metrics for evaluating classification performance for imbalanced problems. Compared with AUROC, AUPRC is a more appropriate metric for highly imbalanced datasets. While…
Tail Averaging improves on Polyak averaging's non-asymptotic behaviour by excluding a number of leading iterates of stochastic optimization from its calculations. In practice, with a finite number of optimization steps and a learning rate…
We discuss a general approach to building non-asymptotic confidence bounds for stochastic optimization problems. Our principal contribution is the observation that a Sample Average Approximation of a problem supplies upper and lower bounds…