相关论文: Fast Ridge Regression with Randomized Principal Co…

High-dimensional linear regression has been thoroughly studied in the context of independent and identically distributed data. We propose to investigate high-dimensional regression models for independent but non-identically distributed…

Stochastic control with both inherent random system noise and lack of knowledge on system parameters constitutes the core and fundamental topic in reinforcement learning (RL), especially under non-episodic situations where online learning…

In this paper, we consider a general stochastic optimization problem which is often at the core of supervised learning, such as deep learning and linear classification. We consider a standard stochastic gradient descent (SGD) method with a…

Bilevel optimization is a central tool in machine learning for high-dimensional hyperparameter tuning. Its applications are vast; for instance, in imaging it can be used for learning data-adaptive regularizers and optimizing forward…

Ridge regression is an indispensable tool in big data analysis. Yet its inherent bias poses a significant and longstanding challenge, compromising both statistical efficiency and scalability across various applications. To tackle this…

Low-rank matrix estimation is a canonical problem that finds numerous applications in signal processing, machine learning and imaging science. A popular approach in practice is to factorize the matrix into two compact low-rank factors, and…

The advent of parameter-efficient fine-tuning methods has significantly reduced the computational burden of adapting large-scale pretrained models to diverse downstream tasks. However, existing approaches often struggle to achieve robust…

Subsampling is a popular approach to alleviating the computational burden for analyzing massive datasets. Recent efforts have been devoted to various statistical models without explicit regularization. In this paper, we develop an efficient…

This paper targets solving distributed machine learning problems such as federated learning in a communication-efficient fashion. A class of new stochastic gradient descent (SGD) approaches have been developed, which can be viewed as the…

Poisson likelihood models have been prevalently used in imaging, social networks, and time series analysis. We propose fast, simple, theoretically-grounded, and versatile, optimization algorithms for Poisson likelihood modeling. The Poisson…

This paper presents an efficient reversible algorithm for linear regression, both with and without ridge regression. Our reversible algorithm matches the asymptotic time and space complexity of standard irreversible algorithms for this…

We consider the problem of efficiently computing the maximum likelihood estimator in Generalized Linear Models (GLMs) when the number of observations is much larger than the number of coefficients ($n \gg p \gg 1$). In this regime,…

This paper presents a new exact method to calculate worst-case parameter realizations in two-stage robust optimization problems with categorical or binary-valued uncertain data. Traditional exact algorithms for these problems, notably…

Stochastic gradient descent is one of the most successful approaches for solving large-scale problems, especially in machine learning and statistics. At each iteration, it employs an unbiased estimator of the full gradient computed from one…

Online minimization of an unknown convex function over the interval $[0,1]$ is considered under first-order stochastic bandit feedback, which returns a random realization of the gradient of the function at each query point. Without knowing…

We study a fully decentralized federated learning algorithm, which is a novel gradient descent algorithm executed on a communication-based network. For convenience, we refer to it as a network gradient descent (NGD) method. In the NGD…

We present two stochastic descent algorithms that apply to unconstrained optimization and are particularly efficient when the objective function is slow to evaluate and gradients are not easily obtained, as in some PDE-constrained…

Methods for learning from data depend on various types of tuning parameters, such as penalization strength or step size. Since performance can depend strongly on these parameters, it is important to compare classes of estimators-by…

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…

Sign-based stochastic methods have gained attention due to their ability to achieve robust performance despite using only the sign information for parameter updates. However, the current convergence analysis of sign-based methods relies on…