相关论文: A Stochastic Variance Reduced Primal Dual Fixed Po…

Stochastic convex optimization problems with nonlinear functional constraints are ubiquitous in signal processing applications including constrained least-squares, set-membership adaptive filtering, and trajectory optimization under…

We propose primal-dual stochastic mirror descent for the convex optimization problems with functional constraints. We obtain the rate of convergence in terms of probability of large deviations.

We design accelerated algorithms with improved rates for several fundamental classes of optimization problems. Our algorithms all build upon techniques related to the analysis of primal-dual extragradient methods via relative Lipschitzness…

We develop an implementable stochastic proximal point (SPP) method for a class of weakly convex, composite optimization problems. The proposed stochastic proximal point algorithm incorporates a variance reduction mechanism and the resulting…

In this paper, we study communication efficient distributed algorithms for distributionally robust federated learning via periodic averaging with adaptive sampling. In contrast to standard empirical risk minimization, due to the minimax…

The aim of this paper is to deepen the convergence analysis of the scaled gradient projection (SGP) method, proposed by Bonettini et al. in a recent paper for constrained smooth optimization. The main feature of SGP is the presence of a…

In this paper, we introduce a stochastic projected subgradient method for weakly convex (i.e., uniformly prox-regular) nonsmooth, nonconvex functions---a wide class of functions which includes the additive and convex composite classes. At a…

Federated learning (FL) is a subfield of machine learning where multiple clients try to collaboratively learn a model over a network under communication constraints. We consider finite-sum federated optimization under a second-order…

Learning representation from relative similarity comparisons, often called ordinal embedding, gains rising attention in recent years. Most of the existing methods are batch methods designed mainly based on the convex optimization, say, the…

By time discretization of a second-order primal-dual dynamical system with damping $\alpha/t$ where an inertial construction in the sense of Nesterov is needed only for the primal variable, we propose a fast primal-dual algorithm for a…

Recently, many variance reduced stochastic alternating direction method of multipliers (ADMM) methods (e.g.\ SAG-ADMM, SDCA-ADMM and SVRG-ADMM) have made exciting progress such as linear convergence rates for strongly convex problems.…

In this paper, we propose a stochastic Primal-Dual Hybrid Gradient (PDHG) approach for solving a wide spectrum of regularized stochastic minimization problems, where the regularization term is composite with a linear function. It has been…

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…

For many applications in signal processing and machine learning, we are tasked with minimizing a large sum of convex functions subject to a large number of convex constraints. In this paper, we devise a new random projection method (RPM) to…

Linear constrained convex programming has many practical applications, including support vector machine and machine learning portfolio problems. We propose the randomized primal-dual coordinate (RPDC) method, a randomized coordinate…

In this paper, we show that simple {Stochastic} subGradient Decent methods with multiple Restarting, named {\bf RSGD}, can achieve a \textit{linear convergence rate} for a class of non-smooth and non-strongly convex optimization problems…

Stochastic variance-reduced gradient (SVRG) is an optimization method originally designed for tackling machine learning problems with a finite sum structure. SVRG was later shown to work for policy evaluation, a problem in reinforcement…

In this paper, we introduce an unbiased gradient simulation algorithms for solving convex optimization problem with stochastic function compositions. We show that the unbiased gradient generated from the algorithm has finite variance and…

Recently, research on accelerated stochastic gradient descent methods (e.g., SVRG) has made exciting progress (e.g., linear convergence for strongly convex problems). However, the best-known methods (e.g., Katyusha) requires at least two…

A generalized conditional gradient method for minimizing the sum of two convex functions, one of them differentiable, is presented. This iterative method relies on two main ingredients: First, the minimization of a partially linearized…