相关论文: Stochastic Primal Dual Coordinate Method with Non-…

We consider a generic convex optimization problem associated with regularized empirical risk minimization of linear predictors. The problem structure allows us to reformulate it as a convex-concave saddle point problem. We propose a…

Block coordinate descent (BCD) methods and their variants have been widely used in coping with large-scale nonconstrained optimization problems in many fields such as imaging processing, machine learning, compress sensing and so on. For…

Uniform sampling of training data has been commonly used in traditional stochastic optimization algorithms such as Proximal Stochastic Gradient Descent (prox-SGD) and Proximal Stochastic Dual Coordinate Ascent (prox-SDCA). Although uniform…

We consider a generic empirical composition optimization problem, where there are empirical averages present both outside and inside nonlinear loss functions. Such a problem is of interest in various machine learning applications, and…

We consider stochastic convex optimization problems with affine constraints and develop several methods using either primal or dual approach to solve it. In the primal case, we use a special penalization technique to make the initial…

We propose a new randomized coordinate descent method for a convex optimization template with broad applications. Our analysis relies on a novel combination of four ideas applied to the primal-dual gap function: smoothing, acceleration,…

In this work, we study the stochastic optimal control problem (SOC) mainly from the probabilistic view point, i.e. via the Stochastic Maximum principle (SMP) \cite{Peng4}. We adopt the sample-wise backpropagation scheme proposed in…

Two-way partial AUC (TPAUC) is a critical performance metric for binary classification with imbalanced data, as it focuses on specific ranges of the true positive rate (TPR) and false positive rate (FPR). However, stochastic algorithms for…

The primal-dual distributed optimization methods have broad large-scale machine learning applications. Previous primal-dual distributed methods are not applicable when the dual formulation is not available, e.g. the sum-of-non-convex…

We introduce a stochastic coordinate extension of the first-order primal-dual method studied by Cohen and Zhu (1984) and Zhao and Zhu (2018) to solve Composite Optimization with Composite Cone-constraints (COCC). In this method, we randomly…

This paper investigates the stochastic distributed nonconvex optimization problem of minimizing a global cost function formed by the summation of $n$ local cost functions. We solve such a problem by involving zeroth-order (ZO) information…

In this paper we propose a stochastic primal dual fixed point method (SPDFP) for solving the sum of two proper lower semi-continuous convex function and one of which is composite. The method is based on the primal dual fixed point method…

Stochastic compositional optimization generalizes classic (non-compositional) stochastic optimization to the minimization of compositions of functions. Each composition may introduce an additional expectation. The series of expectations may…

Sample average approximation--based stochastic dynamic programming (SDP) and model predictive control (MPC) are two different methods for approaching multistage stochastic optimization. In this paper we investigate the conditions under…

We systematically review the Variational Optimization, Variational Inference and Stochastic Search perspectives on sampling-based dynamic optimization and discuss their connections to state-of-the-art optimizers and Stochastic Optimal…

Based on the idea of randomized coordinate descent of $\alpha$-averaged operators, a randomized primal-dual optimization algorithm is introduced, where a random subset of coordinates is updated at each iteration. The algorithm builds upon a…

We propose a doubly stochastic primal-dual coordinate optimization algorithm for empirical risk minimization, which can be formulated as a bilinear saddle-point problem. In each iteration, our method randomly samples a block of coordinates…

We consider (stochastic) convex-concave saddle point (SP) problems with high-dimensional decision variables, arising in various applications including machine learning problems. To contend with the challenges in computing full gradients, we…

We introduce a new approach to develop stochastic optimization algorithms for a class of stochastic composite and possibly nonconvex optimization problems. The main idea is to combine two stochastic estimators to create a new hybrid one. We…

In this paper, we propose a stochastic optimization method that adaptively controls the sample size used in the computation of gradient approximations. Unlike other variance reduction techniques that either require additional storage or the…