Related papers: A companion for the Kiefer--Wolfowitz--Blum stocha…
In this paper we estimate the expected error of a stochastic approximation algorithm where the maximum of a function is found using finite differences of a stochastic representation of that function. An error estimate of $O(n^{-1/5})$ for…
Recently there has been renewed interests in derivative free approaches to stochastic optimization. In this paper, we examine the rates of convergence for the Kiefer-Wolfowitz algorithm and the mirror descent algorithm, under various…
Algorithms which compute locally optimal continuous designs often rely on a finite design space or on repeatedly solving a complex non-linear program. Both methods require extensive evaluations of the Jacobian Df of the underlying model.…
Motivated by applications to multi-antenna wireless networks, we propose a distributed and asynchronous algorithm for stochastic semidefinite programming. This algorithm is a stochastic approximation of a continous- time matrix exponential…
The ODE method has been a workhorse for algorithm design and analysis since the introduction of the stochastic approximation. It is now understood that convergence theory amounts to establishing robustness of Euler approximations for ODEs,…
Stochastic approximation algorithms are iterative procedures which are used to approximate a target value in an environment where the target is unknown and direct observations are corrupted by noise. These algorithms are useful, for…
We study a standard distributed optimization framework where $N$ networked nodes collaboratively minimize the sum of their local convex costs. The main body of existing work considers the described problem when the underling network is…
In online portfolio optimization the investor makes decisions based on new, continuously incoming information on financial assets (typically their prices). In our study we consider a learning algorithm, namely the Kiefer--Wolfowitz version…
We analyze the behavior of stochastic approximation algorithms where iterates, in expectation, progress towards an objective at each step. When progress is proportional to the step size of the algorithm, we prove exponential concentration…
Stochastic approximation (SA) algorithms are widely used in system optimization problems when only noisy measurements of the system are available. This paper studies two types of SA algorithms in a multivariate Kiefer-Wolfowitz setting:…
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…
Feature alignment methods are used in many scientific disciplines for data pooling, annotation, and comparison. As an instance of a permutation learning problem, feature alignment presents significant statistical and computational…
We develop a stochastic approximation version of the classical Kaczmarz algorithm that is incremental in nature and takes as input noisy real time data. Our analysis shows that with probability one it mimics the behavior of the original…
We develop and analyze stochastic optimization algorithms for problems in which the expected loss is strongly convex, and the optimum is (approximately) sparse. Previous approaches are able to exploit only one of these two structures,…
Stochastic approximation techniques have been used in various contexts in data science. We propose a stochastic version of the forward-backward algorithm for minimizing the sum of two convex functions, one of which is not necessarily…
Stochastic approximation is a foundation for many algorithms found in machine learning and optimization. It is in general slow to converge: the mean square error vanishes as $O(n^{-1})$. A deterministic counterpart known as quasi-stochastic…
Finding a maximum cut is a fundamental task in many computational settings. Surprisingly, it has been insufficiently studied in the classic distributed settings, where vertices communicate by synchronously sending messages to their…
This paper proposes a proof of the convergence of a distributed and asynchronous version of the Kiefer-Wolfowitz algorithm.
Cr\'epey, Frikha, and Louzi (2025) introduced a nested stochastic approximation algorithm and its multilevel acceleration to compute the value-at-risk and expected shortfall of a random financial loss. We hereby establish central limit…
We study the convergence properties of the original and away-step Frank-Wolfe algorithms for linearly constrained stochastic optimization assuming the availability of unbiased objective function gradient estimates. The objective function is…