Related papers: Recursive Aggregation of Estimators by Mirror Desc…
We consider the problem of minimizing the sum of an average function of a large number of smooth convex components and a general, possibly non-differentiable, convex function. Although many methods have been proposed to solve this problem…
We consider risk-averse convex stochastic programs expressed in terms of extended polyhedral risk measures. We derive computable confidence intervals on the optimal value of such stochastic programs using the Robust Stochastic Approximation…
We consider the problem of learning convex aggregation of models, that is as good as the best convex aggregation, for the binary classification problem. Working in the stream based active learning setting, where the active learner has to…
We introduce an approach based on mirror descent and sequential Monte Carlo (SMC) to perform joint parameter inference and posterior estimation in latent variable models. This approach is based on minimisation of a functional over the…
This paper studies the convergence of the mirror descent algorithm for finite horizon stochastic control problems with measure-valued control processes. The control objective involves a convex regularisation function, denoted as $h$, with…
We study stochastic convex optimization under infinite noise variance. Specifically, when the stochastic gradient is unbiased and has uniformly bounded $(1+\kappa)$-th moment, for some $\kappa \in (0,1]$, we quantify the convergence rate of…
We consider estimation procedures which are recursive in the sense that each successive estimator is obtained from the previous one by a simple adjustment. We study rate of convergence of recursive estimation procedures for the general…
Distributed gradient descent algorithms have come to the fore in modern machine learning, especially in parallelizing the handling of large datasets that are distributed across several workers. However, scant attention has been paid to…
In this paper we are concerned with fully automatic and locally adaptive estimation of functions in a "signal + noise"-model where the regression function may additionally be blurred by a linear operator, e.g. by a convolution. To this end,…
This paper is devoted to a new modification of a recently proposed adaptive stochastic mirror descent algorithm for constrained convex optimization problems in the case of several convex functional constraints. Algorithms, standard and its…
The mirror descent algorithm is known to be effective in situations where it is beneficial to adapt the mirror map to the underlying geometry of the optimization model. However, the effect of mirror maps on the geometry of distributed…
Based on the ideas of arXiv:1710.06612, we consider the problem of minimization of the Holder-continuous non-smooth functional $f$ with non-positive convex (generally, non-smooth) Lipschitz-continuous functional constraint. We propose some…
We introduce a recursive algorithm of conveniently general form for estimating the coefficient of a moving average model of order one and obtain convergence results for both correct and misspecified MA(1) models. The algorithm encompasses…
Focusing on identification, this paper develops a class of convex optimization-based criteria and correspondingly the recursive algorithms to estimate the parameter vector $\theta^{*}$ of a stochastic dynamic system. Not only do the…
In this paper we study two-player bilinear zero-sum games with constrained strategy spaces. An instance of natural occurrences of such constraints is when mixed strategies are used, which correspond to a probability simplex constraint. We…
This paper studies the problem of recursively estimating the weighted adjacency matrix of a network out of a temporal sequence of binary-valued observations. The observation sequence is generated from nonlinear networked dynamics in which…
We study the estimation error of constrained M-estimators, and derive explicit upper bounds on the expected estimation error determined by the Gaussian width of the constraint set. Both of the cases where the true parameter is on the…
This paper focuses on recursive estimation of time varying autoregressive processes in a nonparametric setting. The stability of the model is revisited and uniform results are provided when the time-varying autoregressive parameters belong…
Online learning algorithms are fast, memory-efficient, easy to implement, and applicable to many prediction problems, including classification, regression, and ranking. Several online algorithms were proposed in the past few decades, some…
In this paper, we consider the online proximal mirror descent for solving the time-varying composite optimization problems. For various applications, the algorithm naturally involves the errors in the gradient and proximal operator. We…