相关论文: Momentum Schemes with Stochastic Variance Reductio…

This work proposes an accelerated first-order algorithm we call the Robust Momentum Method for optimizing smooth strongly convex functions. The algorithm has a single scalar parameter that can be tuned to trade off robustness to gradient…

We consider the fundamental problem in non-convex optimization of efficiently reaching a stationary point. In contrast to the convex case, in the long history of this basic problem, the only known theoretical results on first-order…

We develop and analyze a variant of the SARAH algorithm, which does not require computation of the exact gradient. Thus this new method can be applied to general expectation minimization problems rather than only finite sum problems. While…

Stochastic gradient descent with momentum (SGDM) methods have become fundamental optimization tools in machine learning, combining the computational efficiency of stochastic gradients with the acceleration benefits of momentum. Despite…

Variance reduction is a simple and effective technique that accelerates convex (or non-convex) stochastic optimization. Among existing variance reduction methods, SVRG and SAGA adopt unbiased gradient estimators and are the most popular…

Stochastic variance reduced optimization methods are known to be globally convergent while they suffer from slow local convergence, especially when moderate or high accuracy is needed. To alleviate this problem, we propose an optimization…

We propose and analyze several stochastic gradient algorithms for finding stationary points or local minimum in nonconvex, possibly with nonsmooth regularizer, finite-sum and online optimization problems. First, we propose a simple proximal…

We study stochastic convex optimization under infinite noise variance. Specifically, when the stochastic gradient is unbiased and has uniformly bounded $(1+\kappa)$-th moment, for some $\kappa \in (0,1]$, we quantify the convergence rate of…

Composite convex optimization problems which include both a nonsmooth term and a low-rank promoting term have important applications in machine learning and signal processing, such as when one wishes to recover an unknown matrix that is…

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…

Various optimal gradient-based algorithms have been developed for smooth nonconvex optimization. However, many nonconvex machine learning problems do not belong to the class of smooth functions and therefore the existing algorithms are…

The stochastic proximal gradient method is a powerful generalization of the widely used stochastic gradient descent (SGD) method and has found numerous applications in Machine Learning. However, it is notoriously known that this method…

In this paper, we examine the convergence of mirror descent in a class of stochastic optimization problems that are not necessarily convex (or even quasi-convex), and which we call variationally coherent. Since the standard technique of…

Various gradient compression schemes have been proposed to mitigate the communication cost in distributed training of large scale machine learning models. Sign-based methods, such as signSGD, have recently been gaining popularity because of…

We consider the nonsmooth convex composition optimization problem where the objective is a composition of two finite-sum functions and analyze stochastic compositional variance reduced gradient (SCVRG) methods for them. SCVRG and its…

Hierarchical optimization refers to problems with interdependent decision variables and objectives, such as minimax and bilevel formulations. While various algorithms have been proposed, existing methods and analyses lack adaptivity in…

Stochastic compositional optimization arises in many important machine learning tasks such as value function evaluation in reinforcement learning and portfolio management. The objective function is the composition of two expectations of…

Here we study non-convex composite optimization: first, a finite-sum of smooth but non-convex functions, and second, a general function that admits a simple proximal mapping. Most research on stochastic methods for composite optimization…

We consider smooth stochastic convex optimization problems in the context of algorithms which are based on directional derivatives of the objective function. This context can be considered as an intermediate one between derivative-free…

We consider strongly-convex-strongly-concave saddle-point problems with general non-bilinear objective and different condition numbers with respect to the primal and the dual variables. First, we consider such problems with smooth composite…