相关论文: Finite-Sample Analysis of Proximal Gradient TD Alg…

There are several applications of stochastic optimization where one can benefit from a robust estimate of the gradient. For example, domains such as distributed learning with corrupted nodes, the presence of large outliers in the training…

We present a finite-time analysis of two smoothed functional stochastic approximation algorithms for simulation-based optimization. The first is a two time-scale gradient-based method, while the second is a three time-scale Newton-based…

Temporal difference (TD) learning is a foundational algorithm in reinforcement learning (RL). For nearly forty years, TD learning has served as a workhorse for applied RL as well as a building block for more complex and specialized…

In temporal difference (TD) learning, off-policy sampling is known to be more practical than on-policy sampling, and by decoupling learning from data collection, it enables data reuse. It is known that policy evaluation (including…

Stochastic gradient descent (SGD) has been a go-to algorithm for nonconvex stochastic optimization problems arising in machine learning. Its theory however often requires a strong framework to guarantee convergence properties. We hereby…

Optimal Transport (OT) based distances are powerful tools for machine learning to compare probability measures and manipulate them using OT maps. In this field, a setting of interest is semi-discrete OT, where the source measure $\mu$ is…

The main aim of this paper is to provide an analysis of gradient descent (GD) algorithms with gradient errors that do not necessarily vanish, asymptotically. In particular, sufficient conditions are presented for both stability (almost sure…

TD(0) is one of the most commonly used algorithms in reinforcement learning. Despite this, there is no existing finite sample analysis for TD(0) with function approximation, even for the linear case. Our work is the first to provide such…

We analyse quantile temporal-difference learning (QTD), a distributional reinforcement learning algorithm that has proven to be a key component in several successful large-scale applications of reinforcement learning. Despite these…

We study the Stochastic Gradient Langevin Dynamics (SGLD) algorithm for non-convex optimization. The algorithm performs stochastic gradient descent, where in each step it injects appropriately scaled Gaussian noise to the update. We analyze…

Gradient clipping is a commonly used technique to stabilize the training process of neural networks. A growing body of studies has shown that gradient clipping is a promising technique for dealing with the heavy-tailed behavior that emerged…

Two-timescale Stochastic Approximation (SA) algorithms are widely used in Reinforcement Learning (RL). Their iterates have two parts that are updated using distinct stepsizes. In this work, we develop a novel recipe for their finite sample…

Learning the value function of a given policy (target policy) from the data samples obtained from a different policy (behavior policy) is an important problem in Reinforcement Learning (RL). This problem is studied under the setting of…

Gradient optimization algorithms using epochs, that is those based on stochastic gradient descent without replacement (SGDo), are predominantly used to train machine learning models in practice. However, the mathematical theory of SGDo and…

In centralized settings, it is well known that stochastic gradient descent (SGD) avoids saddle points and converges to local minima in nonconvex problems. However, similar guarantees are lacking for distributed first-order algorithms. The…

Stochastic gradient descent (SGD) is a simple and popular method to solve stochastic optimization problems which arise in machine learning. For strongly convex problems, its convergence rate was known to be O(\log(T)/T), by running SGD for…

Gradient-based first-order convex optimization algorithms find widespread applicability in a variety of domains, including machine learning tasks. Motivated by the recent advances in fixed-time stability theory of continuous-time dynamical…

Stochastic Gradient Descent (SGD) is a fundamental algorithm in machine learning, representing the optimization backbone for training several classic models, from regression to neural networks. Given the recent practical focus on…

Policy gradient methods are powerful reinforcement learning algorithms and have been demonstrated to solve many complex tasks. However, these methods are also data-inefficient, afflicted with high variance gradient estimates, and frequently…

A very popular approach for solving stochastic optimization problems is the stochastic gradient descent method (SGD). Although the SGD iteration is computationally cheap and the practical performance of this method may be satisfactory under…