相关论文: Adaptive Step Sizes in Variance Reduction via Regu…

Based on differences of points and differences of gradients over the most recent three iterations, together with the Taylor's theorem, two forms of the quasi-Newton equations at the recent iteration are constructed. By using the two forms…

This paper discusses basic results and recent developments on variational regularization methods, as developed for inverse problems. In a typical setup we review basic properties needed to obtain a convergent regularization scheme and…

We provide new gradient-based methods for efficiently solving a broad class of ill-conditioned optimization problems. We consider the problem of minimizing a function $f : \mathbb{R}^d \rightarrow \mathbb{R}$ which is implicitly…

This paper considers the robust phase retrieval, which can be cast as a nonsmooth and nonconvex composite optimization problem. We propose two first-order algorithms with adaptive step sizes: the subgradient algorithm (AdaSubGrad) and the…

For a convex class of functions $F$, a regularization functions $\Psi(\cdot)$ and given the random data $(X_i, Y_i)_{i=1}^N$, we study estimation properties of regularization procedures of the form \begin{equation*} \hat f \in {\rm…

Q-learning and SARSA are foundational reinforcement learning algorithms whose practical success depends critically on step-size calibration. Step-sizes that are too large can cause numerical instability, while step-sizes that are too small…

Learning effective regularization is crucial for solving ill-posed inverse problems, which arise in a wide range of scientific and engineering applications. While data-driven methods that parameterize regularizers using deep neural networks…

In this paper, we propose a successive convex approximation framework for sparse optimization where the nonsmooth regularization function in the objective function is nonconvex and it can be written as the difference of two convex…

In this paper, we consider the problem of minimizing the average of a large number of nonsmooth and convex functions. Such problems often arise in typical machine learning problems as empirical risk minimization, but are computationally…

This paper considers unconstrained convex optimization problems with time-varying objective functions. We propose algorithms with a discrete time-sampling scheme to find and track the solution trajectory based on prediction and correction…

A fully stochastic second-order adaptive-regularization method for unconstrained nonconvex optimization is presented which never computes the objective-function value, but yet achieves the optimal $\mathcal{O}(\epsilon^{-3/2})$ complexity…

Stochastic approximation is one of the effective approach to deal with the large-scale machine learning problems and the recent research has focused on reduction of variance, caused by the noisy approximations of the gradients. In this…

We consider the paradigm of unsupervised anomaly detection, which involves the identification of anomalies within a dataset in the absence of labeled examples. Though distance-based methods are top-performing for unsupervised anomaly…

The cubic regularization method (CR) and its adaptive version (ARC) are popular Newton-type methods in solving unconstrained non-convex optimization problems, due to its global convergence to local minima under mild conditions. The main aim…

Recently, the stochastic Polyak step size (SPS) has emerged as a competitive adaptive step size scheme for stochastic gradient descent. Here we develop ProxSPS, a proximal variant of SPS that can handle regularization terms. Developing a…

In this work we explore the fundamental structure-adaptiveness of state of the art randomized first order algorithms on regularized empirical risk minimization tasks, where the solution has intrinsic low-dimensional structure (such as…

In numerous applications, surrogate models are used as a replacement for accurate parameter-to-observable mappings when solving large-scale inverse problems governed by partial differential equations (PDEs). The surrogate model may be a…

We introduce two new stochastic conjugate frameworks for a class of nonconvex and possibly also nonsmooth optimization problems. These frameworks are built upon Stochastic Recursive Gradient Algorithm (SARAH) and we thus refer to them as…

We consider convex-concave saddle-point problems where the objective functions may be split in many components, and extend recent stochastic variance reduction methods (such as SVRG or SAGA) to provide the first large-scale linearly…

We consider the problem of finding a saddle point for the convex-concave objective $\min_x \max_y f(x) + \langle Ax, y\rangle - g^*(y)$, where $f$ is a convex function with locally Lipschitz gradient and $g$ is convex and possibly…