相关论文: A Simultaneous Perturbation Weak Derivative Estima…

Mini-batch stochastic gradient descent (SGD) and variants thereof approximate the objective function's gradient with a small number of training examples, aka the batch size. Small batch sizes require little computation for each model update…

This paper is concerned with the estimation of time-varying networks for high-dimensional nonstationary time series. Two types of dynamic behaviors are considered: structural breaks (i.e., abrupt change points) and smooth changes. To…

In distributed training of deep neural networks, people usually run Stochastic Gradient Descent (SGD) or its variants on each machine and communicate with other machines periodically. However, SGD might converge slowly in training some deep…

I study the estimation of semiparametric monotone index models in the scenario where the number of observation points $n$ is extremely large and conventional approaches fail to work due to heavy computational burdens. Motivated by the…

We identify effective stochastic differential equations (SDE) for coarse observables of fine-grained particle- or agent-based simulations; these SDE then provide useful coarse surrogate models of the fine scale dynamics. We approximate the…

We consider chance-constrained problems with discrete random distribution. We aim for problems with a large number of scenarios. We propose a novel method based on the stochastic gradient descent method which performs updates of the…

Stochasticity and limited precision of synaptic weights in neural network models are key aspects of both biological and hardware modeling of learning processes. Here we show that a neural network model with stochastic binary weights…

We introduce a theoretical and practical framework for efficient importance sampling of mini-batch samples for gradient estimation from single and multiple probability distributions. To handle noisy gradients, our framework dynamically…

We present on-line policy gradient algorithms for computing the locally optimal policy of a constrained, average cost, finite state Markov Decision Process. The stochastic approximation algorithms require estimation of the gradient of the…

In this paper, a weak Local Linearization scheme for Stochastic Differential Equations (SDEs) with multiplicative noise is introduced. First, for a time discretization, the solution of the SDE is locally approximated by the solution of the…

The impact of gradient noise on training deep models is widely acknowledged but not well understood. In this context, we study the distribution of gradients during training. We introduce a method, Gradient Clustering, to minimize the…

This paper investigates the state estimation problem for a class of complex networks, in which the dynamics of each node is subject to Gaussian noise, system uncertainties and nonlinearities. Based on a regularized least-squares approach,…

The massive size of modern neural networks has motivated substantial recent interest in neural network quantization. We introduce Stochastic Markov Gradient Descent (SMGD), a discrete optimization method applicable to training quantized…

The superior performance of ensemble methods with infinite models are well known. Most of these methods are based on optimization problems in infinite-dimensional spaces with some regularization, for instance, boosting methods and convex…

We consider linear models for stochastic dynamics. To any such model can be associated a network (namely a directed graph) describing which degrees of freedom interact under the dynamics. We tackle the problem of learning such a network…

Subgradient algorithms for training support vector machines have been quite successful for solving large-scale and online learning problems. However, they have been restricted to linear kernels and strongly convex formulations. This paper…

Many machine learning algorithms have been developed under the assumption that data sets are already available in batch form. Yet in many application domains data is only available sequentially overtime via compute nodes in different…

Calibration of large-scale differential equation models to observational or experimental data is a widespread challenge throughout applied sciences and engineering. A crucial bottleneck in state-of-the art calibration methods is the…

This work investigates the problem of estimating the weight matrices of a stable time-invariant linear dynamical system from a single sequence of noisy measurements. We show that if the unknown weight matrices describing the system are in…

Deep neural networks can be roughly divided into deterministic neural networks and stochastic neural networks.The former is usually trained to achieve a mapping from input space to output space via maximum likelihood estimation for the…