相关论文: Stochastic Primal-Dual Algorithms with Faster Conv…

Stochastic compositional minimax problems are prevalent in machine learning, yet there are only limited established on the convergence of this class of problems. In this paper, we propose a formal definition of the stochastic compositional…

We propose an algorithm-independent framework to equip existing optimization methods with primal-dual certificates. Such certificates and corresponding rate of convergence guarantees are important for practitioners to diagnose progress, in…

Best subset selection is considered the `gold standard' for many sparse learning problems. A variety of optimization techniques have been proposed to attack this non-convex and NP-hard problem. In this paper, we investigate the dual forms…

In this paper, we present new stochastic methods for solving two important classes of nonconvex optimization problems. We first introduce a randomized accelerated proximal gradient (RapGrad) method for solving a class of nonconvex…

It is well known that the optimal convergence rate for stochastic optimization of smooth functions is $O(1/\sqrt{T})$, which is same as stochastic optimization of Lipschitz continuous convex functions. This is in contrast to optimizing…

A new primal-dual algorithm is presented for solving a class of non-convex minimization problems. This algorithm is based on canonical duality theory such that the original non-convex minimization problem is first reformulated as a…

In this paper we propose distributed dual gradient algorithms for linearly constrained separable convex problems and analyze their rate of convergence under different assumptions. Under the strong convexity assumption on the primal…

We study the computational complexity certification of inexact gradient augmented Lagrangian methods for solving convex optimization problems with complicated constraints. We solve the augmented Lagrangian dual problem that arises from the…

This paper considers smooth convex optimization problems with many functional constraints. To solve this general class of problems we propose a new stochastic perturbed augmented Lagrangian method, called SGDPA, where a perturbation is…

In this paper, we introduce various mechanisms to obtain accelerated first-order stochastic optimization algorithms when the objective function is convex or strongly convex. Specifically, we extend the Catalyst approach originally designed…

In this paper, we propose a novel primal-dual inexact gradient projection method for nonlinear optimization problems with convex-set constraint. This method only needs inexact computation of the projections onto the convex set for each…

"Classical" First Order (FO) algorithms of convex optimization, such as Mirror Descent algorithm or Nesterov's optimal algorithm of smooth convex optimization, are well known to have optimal (theoretical) complexity estimates which do not…

Logistic regression is a widely used statistical model to describe the relationship between a binary response variable and predictor variables in data sets. It is often used in machine learning to identify important predictor variables.…

There are much recent interests in solving noncovnex min-max optimization problems due to its broad applications in many areas including machine learning, networked resource allocations, and distributed optimization. Perhaps, the most…

Non-convex optimization plays a key role in a growing number of machine learning applications. This motivates the identification of specialized structure that enables sharper theoretical analysis. One such identified structure is…

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…

We focus on analyzing the classical stochastic projected gradient methods under a general dependent data sampling scheme for constrained smooth nonconvex optimization. We show the worst-case rate of convergence $\tilde{O}(t^{-1/4})$ and…

Traditional algorithms for stochastic optimization require projecting the solution at each iteration into a given domain to ensure its feasibility. When facing complex domains, such as positive semi-definite cones, the projection operation…

Recently, multi-objective optimization (MOO) has gained attention for its broad applications in ML, operations research, and engineering. However, MOO algorithm design remains in its infancy and many existing MOO methods suffer from…

This paper studies the distributed optimization problem when the objective functions might be nondifferentiable and subject to heterogeneous set constraints. Unlike existing subgradient methods, we focus on the case when the exact…