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We propose a novel framework for analyzing convergence rates of stochastic optimization algorithms with adaptive step sizes. This framework is based on analyzing properties of an underlying generic stochastic process, in particular by…
We develop a new framework for deriving time-uniform concentration bounds for the output of stochastic sequential algorithms satisfying certain recursive inequalities akin to those defining the almost-supermartingale processes introduced by…
This paper presents a novel stochastic gradient descent algorithm for constrained optimization. The proposed algorithm randomly samples constraints and components of the finite sum objective function and relies on a relaxed logarithmic…
In this paper, we consider a class of stochastic optimal control problems with risk constraints that are expressed as bounded probabilities of failure for particular initial states. We present here a martingale approach that diffuses a risk…
In this paper we study simulation based optimization algorithms for solving discrete time optimal stopping problems. This type of algorithms became popular among practioneers working in the area of quantitative finance. Using large…
We study deterministic and stochastic primal-dual sub-gradient algorithms for distributed optimization of a separable objective function with global inequality constraints. In both algorithms, the norm of the Lagrangian multipliers are…
We present for the first time a supermartingale certificate for $\omega$-regular specifications. We leverage the Robbins & Siegmund convergence theorem to characterize supermartingale certificates for the almost-sure acceptance of Streett…
Optimization is an important module of modern machine learning applications. Tremendous efforts have been made to accelerate optimization algorithms. A common formulation is achieving a lower loss at a given time. This enables a…
We give concentration bounds for martingales that are uniform over finite times and extend classical Hoeffding and Bernstein inequalities. We also demonstrate our concentration bounds to be optimal with a matching anti-concentration…
This paper focus on the convergence of stochastic approximation with Nesterov momentum. Nesterov acceleration has proven effective in machine learning for its ability to reduce computational complexity. The issue of delayed information in…
This work provides the first finite-time convergence guarantees for linearly constrained stochastic bilevel optimization using only first-order methods, requiring solely gradient information without any Hessian computations or second-order…
Large deviations for additive path functionals of stochastic processes have attracted significant research interest, in particular in the context of stochastic particle systems and statistical physics. Efficient numerical `cloning'…
A new stochastic primal--dual algorithm for solving a composite optimization problem is proposed. It is assumed that all the functions/operators that enter the optimization problem are given as statistical expectations. These expectations…
We revisit the stochastic limited-memory BFGS (L-BFGS) algorithm. By proposing a new framework for the convergence analysis, we prove improved convergence rates and computational complexities of the stochastic L-BFGS algorithms compared to…
We extend the Longstaff-Schwartz algorithm for approximately solving optimal stopping problems on high-dimensional state spaces. We reformulate the optimal stopping problem for Markov processes in discrete time as a generalized statistical…
In this paper, we focus on the problem of stochastic optimization where the objective function can be written as an expectation function over a closed convex set. We also consider multiple expectation constraints which restrict the domain…
Stochastic optimization naturally appear in many application areas, including machine learning. Our goal is to go further in the analysis of the Stochastic Average Gradient Accelerated (SAGA) algorithm. To achieve this, we introduce a new…
We reconsider the stochastic (sub)gradient approach to the unconstrained primal L1-SVM optimization. We observe that if the learning rate is inversely proportional to the number of steps, i.e., the number of times any training pattern is…
This work examines the convergence of stochastic gradient-based optimization algorithms that use early stopping based on a validation function. The form of early stopping we consider is that optimization terminates when the norm of the…
We consider an optimal stopping problem where a constraint is placed on the distribution of the stopping time. Reformulating the problem in terms of so-called measure-valued martingales allows us to transform the marginal constraint into an…