相关论文: A Simple Convergence Time Analysis of Drift-Plus-P…
Stochastic nonconvex-concave min-max saddle point problems appear in many machine learning and control problems including distributionally robust optimization, generative adversarial networks, and adversarial learning. In this paper, we…
Stochastic gradient descent in continuous time (SGDCT) provides a computationally efficient method for the statistical learning of continuous-time models, which are widely used in science, engineering, and finance. The SGDCT algorithm…
Consider convex optimization problems subject to a large number of constraints. We focus on stochastic problems in which the objective takes the form of expected values and the feasible set is the intersection of a large number of convex…
This study develops a fixed-time convergent saddle point dynamical system for solving min-max problems under a relaxation of standard convexity-concavity assumption. In particular, it is shown that by leveraging the dynamical systems…
We present a new optimization-theoretic approach to analyzing Follow-the-Leader style algorithms, particularly in the setting where perturbations are used as a tool for regularization. We show that adding a strongly convex penalty function…
We study differentially private (DP) algorithms for stochastic convex optimization: the problem of minimizing the population loss given i.i.d. samples from a distribution over convex loss functions. A recent work of Bassily et al. (2019)…
This paper considers the problem of minimizing a convex expectation function with a set of inequality convex expectation constraints. We present a computable stochastic approximation type algorithm, namely the stochastic linearized proximal…
Accurate time series forecasting models are often compromised by data drift, where underlying data distributions change over time, leading to significant declines in prediction performance. To address this challenge, this study proposes an…
We consider the problem of scheduling arrivals to a congestion system with a finite number of users having identical deterministic demand sizes. The congestion is of the processor sharing type in the sense that all users in the system at…
This paper studies the problem of controlling linear dynamical systems subject to point-wise-in-time constraints. We present an algorithm similar to online gradient descent, that can handle time-varying and a priori unknown convex cost…
In this paper, we develop an interior-point method for solving a class of convex optimization problems with time-varying objective and constraint functions. Using log-barrier penalty functions, we propose a continuous-time dynamical system…
This paper focuses on convex constrained optimization problems, where the solution is subject to a convex inequality constraint. In particular, we aim at challenging problems for which both projection into the constrained domain and a…
People tend to behave inconsistently over time due to an inherent present bias. As this may impair performance, social and economic settings need to be adapted accordingly. Common tools to reduce the impact of time-inconsistent behavior are…
We consider a mean-field control problem in which admissible controls are required to be adapted to the common noise filtration. The main objective is to show how the mean-field control problem can be approximates by time consistent…
We present distributed subgradient methods for min-max problems with agreement constraints on a subset of the arguments of both the convex and concave parts. Applications include constrained minimization problems where each constraint is a…
Constrained machine learning enables fairness-aware training, physics-informed neural networks, and integration of symbolic domain knowledge into statistical models. Despite its practical importance, no general method exists for the…
We consider a class of multi-agent cooperative consensus optimization problems with local nonlinear convex constraints where only those agents connected by an edge can directly communicate, hence, the optimal consensus decision lies in the…
The paper aims at the development of an apparatus for analysis and construction of near optimal solutions of singularly perturbed (SP) optimal controls problems (that is, problems of optimal control of SP systems) considered on the infinite…
Attention to data-driven optimization approaches, including the well-known stochastic gradient descent method, has grown significantly over recent decades, but data-driven constraints have rarely been studied, because of the computational…
Due to its optimality on a single machine for the problem of minimizing average flow time, Shortest-Remaining-Processing-Time (\srpt) appears to be the most natural algorithm to consider for the problem of minimizing average flow time on…