Related papers: A Stochastic Gradient Descent Approach to Design P…

Stochastic gradient descent in continuous time (SGDCT) provides a computationally efficient method for the statistical learning of continuous-time models, which are widely used in science, engineering, and finance. The SGDCT algorithm…

A gradient-based method is proposed for solving the linear quadratic regulator (LQR) problem for linear systems with nonlinear dependence on time-invariant probabilistic parametric uncertainties. The approach explicitly accounts for model…

This paper considers a general data-fitting problem over a networked system, in which many computing nodes are connected by an undirected graph. This kind of problem can find many real-world applications and has been studied extensively in…

We develop a new method of online inference for a vector of parameters estimated by the Polyak-Ruppert averaging procedure of stochastic gradient descent (SGD) algorithms. We leverage insights from time series regression in econometrics and…

We develop methods for parameter estimation in settings with large-scale data sets, where traditional methods are no longer tenable. Our methods rely on stochastic approximations, which are computationally efficient as they maintain one…

We consider a distributed learning problem in which the computation is carried out on a system consisting of a master node and multiple worker nodes. In such systems, the existence of slow-running machines called stragglers will cause a…

Gradient quantization is an emerging technique in reducing communication costs in distributed learning. Existing gradient quantization algorithms often rely on engineering heuristics or empirical observations, lacking a systematic approach…

Stochastic gradient descent (SGD) on a low-rank factorization is commonly employed to speed up matrix problems including matrix completion, subspace tracking, and SDP relaxation. In this paper, we exhibit a step size scheme for SGD on a…

We study a distributed consensus-based stochastic gradient descent (SGD) algorithm and show that the rate of convergence involves the spectral properties of two matrices: the standard spectral gap of a weight matrix from the network…

We consider the setting where a master wants to run a distributed stochastic gradient descent (SGD) algorithm on $n$ workers each having a subset of the data. Distributed SGD may suffer from the effect of stragglers, i.e., slow or…

Recent advances in policy gradient methods and deep learning have demonstrated their applicability for complex reinforcement learning problems. However, the variance of the performance gradient estimates obtained from the simulation is…

Stochastic variance-reduced gradient (SVRG) is an optimization method originally designed for tackling machine learning problems with a finite sum structure. SVRG was later shown to work for policy evaluation, a problem in reinforcement…

One of the most common methods to train machine learning algorithms today is the stochastic gradient descent (SGD). In a distributed setting, SGD-based algorithms have been shown to converge theoretically under specific circumstances. A…

There is an increased interest in building data analytics frameworks with advanced algebraic capabilities both in industry and academia. Many of these frameworks, e.g., TensorFlow and BIDMach, implement their compute-intensive primitives in…

When training a machine learning model with observational data, it is often encountered that some values are systemically missing. Learning from the incomplete data in which the missingness depends on some covariates may lead to biased…

We consider a decentralized learning setting in which data is distributed over nodes in a graph. The goal is to learn a global model on the distributed data without involving any central entity that needs to be trusted. While gossip-based…

This paper provides a framework to analyze stochastic gradient algorithms in a mean squared error (MSE) sense using the asymptotic normality result of the stochastic gradient descent (SGD) iterates. We perform this analysis by taking the…

In many applications involving large dataset or online updating, stochastic gradient descent (SGD) provides a scalable way to compute parameter estimates and has gained increasing popularity due to its numerical convenience and memory…

With the vigorous development of artificial intelligence technology, various engineering technology applications have been implemented one after another. The gradient descent method plays an important role in solving various optimization…

This paper presents a comprehensive study on the convergence rates of the stochastic gradient descent (SGD) algorithm when applied to overparameterized two-layer neural networks. Our approach combines the Neural Tangent Kernel (NTK)…