Related papers: Robust Accelerated Adaptive Search: High-Probabili…
We present for the first time an asymptotic convergence analysis of two time-scale stochastic approximation driven by "controlled" Markov noise. In particular, the faster and slower recursions have non-additive controlled Markov noise…
We study oracle complexity of gradient based methods for stochastic approximation problems. Though in many settings optimal algorithms and tight lower bounds are known for such problems, these optimal algorithms do not achieve the best…
Since their introduction, anchoring methods in extragradient-type saddlepoint problems have inspired a flurry of research due to their ability to provide order-optimal rates of accelerated convergence in very general problem settings. Such…
In this work, we consider bilevel optimization when the lower-level problem is strongly convex. Recent works show that with a Hessian-vector product (HVP) oracle, one can provably find an $\epsilon$-stationary point within…
Stochastic compositional optimization arises in many important machine learning tasks such as value function evaluation in reinforcement learning and portfolio management. The objective function is the composition of two expectations of…
Neural Architectures Search (NAS) becomes more and more popular over these years. However, NAS-generated models tends to suffer greater vulnerability to various malicious attacks. Lots of robust NAS methods leverage adversarial training to…
Model predictive control solves a constrained optimization problem online in order to compute an implicit closed-loop control policy. Recursive feasibility -- guaranteeing that the optimal control problem will have a solution at every time…
It is well-known that given a smooth, bounded-from-below, and possibly nonconvex function, standard gradient-based methods can find $\epsilon$-stationary points (with gradient norm less than $\epsilon$) in $\mathcal{O}(1/\epsilon^2)$…
Two families of directional direct search methods have emerged in derivative-free and blackbox optimization (DFO and BBO), each based on distinct principles: Mesh Adaptive Direct Search (MADS) and Sufficient Decrease Direct Search (SDDS).…
We propose a single-loop variance-reduced acceleration framework, which relates checkpoint update probabilities to momentum parameters, for solving the composite general convex problem where the smooth part has the finite-sum structure.…
We consider non-convex stochastic optimization using first-order algorithms for which the gradient estimates may have heavy tails. We show that a combination of gradient clipping, momentum, and normalized gradient descent yields convergence…
We propose novel randomized optimization methods for high-dimensional convex problems based on restrictions of variables to random subspaces. We consider oblivious and data-adaptive subspaces and study their approximation properties via…
We revisit random search for stochastic optimization, where only noisy function evaluations are available. We show that the method works under weaker smoothness assumptions than previously considered, and that stronger assumptions enable…
Stochastic Gradient (SG) is the defacto iterative technique to solve stochastic optimization (SO) problems with a smooth (non-convex) objective $f$ and a stochastic first-order oracle. SG's attractiveness is due in part to its simplicity of…
Although upper bound guarantees for bilevel optimization have been widely studied, progress on lower bounds has been limited due to the complexity of the bilevel structure. In this work, we focus on the smooth nonconvex-strongly-convex…
Interesting theoretical associations have been established by recent papers between the fields of active learning and stochastic convex optimization due to the common role of feedback in sequential querying mechanisms. In this paper, we…
Performance analysis of first-order algorithms with inexact oracles has gained recent attention due to various emerging applications in which obtaining exact gradients is impossible or computationally expensive. Previous research has…
The problem of monotone submodular maximization has been studied extensively due to its wide range of applications. However, there are cases where one can only access the objective function in a distorted or noisy form because of the…
Training deep reinforcement learning (RL) agents necessitates overcoming the highly unstable nonconvex stochastic optimization inherent in the trial-and-error mechanism. To tackle this challenge, we propose a physics-inspired optimization…
Ensuring safety in Reinforcement Learning (RL), typically framed as a Constrained Markov Decision Process (CMDP), is crucial for real-world exploration applications. Current approaches in handling CMDP struggle to balance optimality and…