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Stochastic gradient descent with momentum (SGDM) is the dominant algorithm in many optimization scenarios, including convex optimization instances and non-convex neural network training. Yet, in the stochastic setting, momentum interferes…
In the decremental single-source shortest paths (SSSP) problem, the input is an undirected graph $G=(V,E)$ with $n$ vertices and $m$ edges undergoing edge deletions, together with a fixed source vertex $s\in V$. The goal is to maintain a…
Many reinforcement learning algorithms can be seen as versions of approximate policy iteration (API). While standard API often performs poorly, it has been shown that learning can be stabilized by regularizing each policy update by the…
Federated learning (FL) is a subfield of machine learning where multiple clients try to collaboratively learn a model over a network under communication constraints. We consider finite-sum federated optimization under a second-order…
Stochastic optimization algorithms update models with cheap per-iteration costs sequentially, which makes them amenable for large-scale data analysis. Such algorithms have been widely studied for structured sparse models where the sparsity…
We present a black-box reduction from the path version of the Traveling Salesman Problem (Path TSP) to the classical tour version (TSP). More precisely, we show that given an $\alpha$-approximation algorithm for TSP, then, for any $\epsilon…
We developed a corporative stochastic approximation (CSA) type algorithm for semi-infinite programming (SIP), where the cut generation problem is solved inexactly. First, we provide general error bounds for inexact CSA. Then, we propose two…
We introduce and study the multi-agent stochastic shortest path (MSSP) problem, in which $k$ agents strive to reach a target state, aiming to minimize the expected time to reach the target by any agent. We analyze the computational and…
We consider stochastic strongly-convex-strongly-concave (SCSC) saddle point (SP) problems which frequently arise in applications ranging from distributionally robust learning to game theory and fairness in machine learning. We focus on the…
We consider the problem of control in the setting of reinforcement learning (RL), where model information is not available. Policy gradient algorithms are a popular solution approach for this problem and are usually shown to converge to a…
Reinforcement learning (RL) has been widely used in decision-making and control tasks, but the risk is very high for the agent in the training process due to the requirements of interaction with the environment, which seriously limits its…
This paper presents a stochastic approximation proximal subgradient (SAPS) method for stochastic convex-concave minimax optimization. By accessing unbiased and variance bounded approximate subgradients, we show that this algorithm exhibits…
This paper focuses on stochastic proximal gradient methods for optimizing a smooth non-convex loss function with a non-smooth non-convex regularizer and convex constraints. To the best of our knowledge we present the first non-asymptotic…
In this paper we develop proximal methods for statistical learning. Proximal point algorithms are useful in statistics and machine learning for obtaining optimization solutions for composite functions. Our approach exploits closed-form…
Stochastic gradient descent type methods are ubiquitous in machine learning, but they are only applicable to the optimization of differentiable functions. Proximal algorithms are more general and applicable to nonsmooth functions. We…
Reinforcement learning (RL) for reachability specifications is fundamental in sequential decision-making, yet theoretical guarantees remain less explored. A recent work achieves asymptotic convergence to optimal policies. However, this…
Replicability is a fundamental challenge in reinforcement learning (RL), as RL algorithms are empirically observed to be unstable and sensitive to variations in training conditions. To formally address this issue, we study \emph{list…
The goal of this paper is to find a low-rank approximation for a given tensor. Specifically, we give a computable strategy on calculating the rank of a given tensor, based on approximating the solution to an NP-hard problem. In this paper,…
Motivated by penalized likelihood maximization in complex models, we study optimization problems where neither the function to optimize nor its gradient have an explicit expression, but its gradient can be approximated by a Monte Carlo…
Few-shot learning is an important research field of machine learning in which a classifier must be trained in such a way that it can adapt to new classes which are not included in the training set. However, only small amounts of examples of…