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Decentralized minimax optimization has been actively studied in the past few years due to its application in a wide range of machine learning models. However, the current theoretical understanding of its convergence rate is far from…
This paper proposes a novel CTA (Combine-Then-Adapt)-based decentralized algorithm for solving convex composite optimization problems over undirected and connected networks. The local loss function in these problems contains both smooth and…
We introduce a new adaptive step-size strategy for convex optimization with stochastic gradient that exploits the local geometry of the objective function only by means of a first-order stochastic oracle and without any hyper-parameter…
Federated optimization (FedOpt), which targets at collaboratively training a learning model across a large number of distributed clients, is vital for federated learning. The primary concerns in FedOpt can be attributed to the model…
In this paper, we develop a distributed algorithm for solving a class of distributed convex optimization problems where the local objective functions can be a general nonsmooth function, and all equalities and inequalities are network-wide…
We consider an $n$ agents distributed optimization problem with imperfect information characterized in a parametric sense, where the unknown parameter can be solved by a distinct distributed parameter learning problem. Though each agent…
We study the distributed stochastic compositional optimization problems over directed communication networks in which agents privately own a stochastic compositional objective function and collaborate to minimize the sum of all objective…
Decentralized optimization, particularly the class of decentralized composite convex optimization (DCCO) problems, has found many applications. Due to ubiquitous communication congestion and random dropouts in practice, it is highly…
We consider whether distributed subgradient methods can achieve a linear speedup over a centralized subgradient method. While it might be hoped that distributed network of $n$ nodes that can compute $n$ times more subgradients in parallel…
Tuning of model-based boosting algorithms relies mainly on the number of iterations, while the step-length is fixed at a predefined value. For complex models with several predictors such as Generalized Additive Models for Location, Scale…
This work proposes a novel adaptive linearized alternating direction multiplier method (LADMM) to convex optimization, which improves the convergence rate of the LADMM-based algorithm by adjusting step-size iteratively.The innovation of…
In this paper, we design, analyze, and implement a variant of the two-loop L-shaped algorithms for solving two-stage stochastic programming problems that arise from important application areas including revenue management and power systems.…
In this paper, we propose a novel distributed algorithm to optimize the emergent macroscopic behavior of large-scale multi-agent systems via microscopic actions. We cast this task as a bilevel optimization problem, where the upper level…
In this paper, we study a large-scale multi-agent minimax optimization problem, which models many interesting applications in statistical learning and game theory, including Generative Adversarial Networks (GANs). The overall objective is a…
In this paper, we propose and analyse a family of generalised stochastic composite mirror descent algorithms. With adaptive step sizes, the proposed algorithms converge without requiring prior knowledge of the problem. Combined with an…
In this paper, we focus on solving a distributed convex optimization problem in a network, where each agent has its own convex cost function and the goal is to minimize the sum of the agents' cost functions while obeying the network…
Motivated by distributed statistical learning over uncertain communication networks, we study distributed stochastic optimization by networked nodes to cooperatively minimize a sum of convex cost functions. The network is modeled by a…
We study distributed optimization algorithms for minimizing the average of \emph{heterogeneous} functions distributed across several machines with a focus on communication efficiency. In such settings, naively using the classical stochastic…
This paper investigates the problem of solving discrete-time Lyapunov equations (DTLE) over a multi-agent system, where every agent has access to its local information and communicates with its neighbors. To obtain a solution to DTLE, a…
In this paper, we investigate the distributed convex optimization problem over a multi-agent system with Markovian switching communication networks. The objective function is the sum of each agent's local objective function, which cannot be…