Related papers: Recursive Bound-Constrained AdaGrad with Applicati…
We analyze the convergence properties of a modified barrier method for solving bound-constrained optimization problems where evaluations of the objective function and its derivatives are affected by bounded and non-diminishing noise. The…
This paper considers a class of distributed bilevel optimization (DBO) problems with a coupled inner-level subproblem. Existing approaches typically rely on hypergradient estimations involving computationally expensive Hessian evaluation.…
We propose and analyze a model-based derivative-free (DFO) algorithm for solving bound-constrained optimization problems where the objective function is the composition of a smooth function and a vector of black-box functions. We assume…
In Online Convex Optimization (OCO), when the stochastic gradient has a finite variance, many algorithms provably work and guarantee a sublinear regret. However, limited results are known if the gradient estimate has a heavy tail, i.e., the…
We consider a standard distributed optimisation setting where $N$ machines, each holding a $d$-dimensional function $f_i$, aim to jointly minimise the sum of the functions $\sum_{i = 1}^N f_i (x)$. This problem arises naturally in…
Optimization with time-dependent partial differential equations (PDEs) as constraints {appears} in many science and engineering applications. The associated first-order necessary optimality system consists of one forward and one backward…
This paper delves into stochastic optimization problems that involve Markovian noise. We present a unified approach for the theoretical analysis of first-order gradient methods for stochastic optimization and variational inequalities. Our…
We propose two policy gradient algorithms for solving the problem of control in an off-policy reinforcement learning (RL) context. Both algorithms incorporate a smoothed functional (SF) based gradient estimation scheme. The first algorithm…
Conditional Gradient algorithms (aka Frank-Wolfe algorithms) form a classical set of methods for constrained smooth convex minimization due to their simplicity, the absence of projection steps, and competitive numerical performance. While…
This paper provides lower bounds on the convergence rate of Derivative Free Optimization (DFO) with noisy function evaluations, exposing a fundamental and unavoidable gap between the performance of algorithms with access to gradients and…
We consider the minimization of a continuous function over the intersection of a regular cone with an affine set via a new class of adaptive first- and second-order optimization methods, building on the Hessian-barrier techniques introduced…
Iterative optimization is central to modern artificial intelligence (AI) and provides a crucial framework for understanding adaptive systems. This review provides a unified perspective on this subject, bridging classic theory with neural…
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…
We consider scalar ODE with a power singularity at the origin, regularized by an additive fractional noise. We show that, as the intensity in front of the noise goes to $0$, the solution converges to the extremal solutions to the ODE (which…
Decoding via sequentially guessing the error pattern in a received noisy sequence has received attention recently, and ORBGRAND has been proposed as one such decoding algorithm that is capable of utilizing the soft information embedded in…
This paper develops a persistently exciting input generating Online Feedback Optimization (OFO) controller that estimates the sensitivity of a process ensuring minimal deviations from the descent direction while converging. This eliminates…
Guessing Random Additive Noise Decoding (GRAND) is a family of universal decoding algorithms suitable for decoding any moderate redundancy code of any length. We establish that, through the use of list decoding, soft-input variants of GRAND…
In this paper, we propose a new method based on the Sliding Algorithm from Lan(2016, 2019) for the convex composite optimization problem that includes two terms: smooth one and non-smooth one. Our method uses the stochastic noised…
In this paper, we propose a new, simplified high probability analysis of AdaGrad for smooth, non-convex problems. More specifically, we focus on a particular accelerated gradient (AGD) template (Lan, 2020), through which we recover the…
A number of problems in relational Artificial Intelligence can be viewed as Stochastic Constraint Optimization Problems (SCOPs). These are constraint optimization problems that involve objectives or constraints with a stochastic component.…