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

In this paper, we propose a new technique named \textit{Stochastic Path-Integrated Differential EstimatoR} (SPIDER), which can be used to track many deterministic quantities of interest with significantly reduced computational cost. We…

Stochastic Gradient Descent has been widely studied with classification accuracy as a performance measure. However, these stochastic algorithms cannot be directly used when non-decomposable pairwise performance measures are used such as…

In this paper we consider the problem of finding the minimizations of the sum of two convex functions and the composition of another convex function with a continuous linear operator. With the idea of coordinate descent, we design a…

In this paper, we propose two new solution schemes to solve the stochastic strongly monotone variational inequality problems: the stochastic extra-point solution scheme and the stochastic extra-momentum solution scheme. The first one is a…

We discuss non-Euclidean deterministic and stochastic algorithms for optimization problems with strongly and uniformly convex objectives. We provide accuracy bounds for the performance of these algorithms and design methods which are…

Minimax optimization problems have attracted significant attention in recent years due to their widespread application in numerous machine learning models. To solve the minimax problem, a wide variety of stochastic optimization methods have…

Stochastic composition optimization draws much attention recently and has been successful in many emerging applications of machine learning, statistical analysis, and reinforcement learning. In this paper, we focus on the composition…

We consider stochastic variational inequality problems where the mapping is monotone over a compact convex set. We present two robust variants of stochastic extragradient algorithms for solving such problems. Of these, the first scheme…

We study the problem of minimizing the sum of potentially non-differentiable convex cost functions with partially overlapping dependences in an asynchronous manner, where communication in the network is not coordinated. We study the…

Over the last few years, sampling-based stochastic optimal control (SOC) frameworks have shown impressive performances in reinforcement learning (RL) with applications in robotics. However, such approaches require a large amount of samples…

Recently, Stochastic Variational Inference (SVI) has been increasingly attractive thanks to its ability to find good posterior approximations of probabilistic models. It optimizes the variational objective with stochastic optimization,…

Stochastic gradient descent (\textsc{Sgd}) methods are the most powerful optimization tools in training machine learning and deep learning models. Moreover, acceleration (a.k.a. momentum) methods and diagonal scaling (a.k.a. adaptive…

This paper studies a distributed stochastic optimization problem over random networks with imperfect communications subject to a global constraint, which is the intersection of local constraint sets assigned to agents. The global cost…

This paper is concerned with the error analysis of two types of sampling algorithms, namely model predictive path integral (MPPI) and an interacting particle system (\IPS) algorithm, that have been proposed in the literature for numerical…

In this paper, we study numerical approximations for optimal control of a class of stochastic partial differential equations with partial observations. The system state evolves in a Hilbert space, whereas observations are given in…

Cubic regularization (CR) is an optimization method with emerging popularity due to its capability to escape saddle points and converge to second-order stationary solutions for nonconvex optimization. However, CR encounters a high sample…

This paper considers stochastic-constrained stochastic optimization where the stochastic constraint is to satisfy that the expectation of a random function is below a certain threshold. In particular, we study the setting where data samples…

This paper proposes a statistically optimal approach for learning a function value using a confidence interval in a wide range of models, including general non-parametric estimation of an expected loss described as a stochastic programming…

In this paper, we propose a variance-reduced primal-dual algorithm with Bregman distance for solving convex-concave saddle-point problems with finite-sum structure and nonbilinear coupling function. This type of problems typically arises in…

For solving pseudo-convex global optimization problems, we present a novel fully adaptive steepest descent method (or ASDM) without any hard-to-estimate parameters. For the step-size regulation in an $\varepsilon$-normalized direction, we…