相关论文: Variance Reduction for Sequential Sampling in Stoc…

In this paper, we propose a stochastic method for solving equality constrained optimization problems that utilizes predictive variance reduction. Specifically, we develop a method based on the sequential quadratic programming paradigm that…

Variational inference algorithms have proven successful for Bayesian analysis in large data settings, with recent advances using stochastic variational inference (SVI). However, such methods have largely been studied in independent or…

We investigate the use of Antithetic Variables, Control Variates and Importance Sampling to reduce the statistical errors of option sensitivities calculated with the Likelihood Ratio Method in Monte Carlo. We show how Antithetic Variables…

Several useful variance-reduced stochastic gradient algorithms, such as SVRG, SAGA, Finito, and SAG, have been proposed to minimize empirical risks with linear convergence properties to the exact minimizer. The existing convergence results…

Large-scale software systems generate vast volumes of system logs that are essential for monitoring, diagnosing, and performance optimization. However, the unstructured nature and ever-growing scale of these logs present significant…

In the automotive industry, the sequence of vehicles to be produced is determined ahead of the production day. However, there are some vehicles, failed vehicles, that cannot be produced due to some reasons such as material shortage or paint…

In this paper we study a family of variance reduction methods with randomized batch size---at each step, the algorithm first randomly chooses the batch size and then selects a batch of samples to conduct a variance-reduced stochastic…

The Adaptive Multilevel Splitting (AMS) algorithm is a powerful and versatile method for the simulation of rare events. It is based on an interacting (via a mutation-selection procedure) system of replicas, and depends on two integer…

Sampling from high-dimensional probability distributions is fundamental in machine learning and statistics. As datasets grow larger, computational efficiency becomes increasingly important, particularly in reducing adaptive complexity,…

Language Models (LMs) are increasingly used in applications where generated outputs must satisfy strict semantic or syntactic constraints. Existing approaches to constrained generation fall along a spectrum: greedy constrained decoding…

We highlight a striking difference in behavior between two widely used variants of coordinate ascent variational inference: the sequential and parallel algorithms. While such differences were known in the numerical analysis literature in…

This paper considers a class of reinforcement learning problems, which involve systems with two types of states: stochastic and pseudo-stochastic. In such systems, stochastic states follow a stochastic transition kernel while the…

Aligning large language models (LLMs) with human preferences is essential for their applications. Recently, decoding-time alignment has emerged as an effective plug-and-play technique that avoids fine-tuning model parameters. This approach…

Contrary to the situation with stochastic gradient descent, we argue that when using stochastic methods with variance reduction, such as SDCA, SAG or SVRG, as well as their variants, it could be beneficial to reuse previously used samples…

Supervised learning by extreme learning machines resp. neural networks with random weights is studied under a non-stationary spatial-temporal sampling design which especially addresses settings where an autonomous object moving in a…

Large-scale nonconvex and nonsmooth problems have attracted considerable attention in the fields of compress sensing, big data optimization and machine learning. Exploring effective methods is still the main challenge of today's research.…

Two approaches to moment matching based model reduction of aperiodically sampled data systems are given. The term "aperiodic sampling" is used in the paper to indicate that the time between two consecutive sampling instants can take its…

We provide the first importance sampling variants of variance reduced algorithms for empirical risk minimization with non-convex loss functions. In particular, we analyze non-convex versions of SVRG, SAGA and SARAH. Our methods have the…

Bilevel Optimization has experienced significant advancements recently with the introduction of new efficient algorithms. Mirroring the success in single-level optimization, stochastic gradient-based algorithms are widely used in bilevel…

A dynamic sampled stochastic approximated (DS-SA) extragradient method for stochastic variational inequalities (SVI) is proposed that is \emph{robust} with respect to an unknown Lipschitz constant $L$. To the best of our knowledge, it is…