相关论文: On Sharp Stochastic Zeroth Order Hessian Estimator…

In this work, we develop first-order (Hessian-free) and zero-order (derivative-free) implementations of the Cubically regularized Newton method for solving general non-convex optimization problems. For that, we employ finite difference…

We present randomized algorithms for estimating the trace and deter- minant of Hermitian positive semi-definite matrices. The algorithms are based on subspace iteration, and access the matrix only through matrix vector products. We analyse…

It was shown recently by Su et al. (2016) that Nesterov's accelerated gradient method for minimizing a smooth convex function $f$ can be thought of as the time discretization of a second-order ODE, and that $f(x(t))$ converges to its…

We propose a second-order (Hessian or Hessian-free) based optimization method for variational inference inspired by Gaussian backpropagation, and argue that quasi-Newton optimization can be developed as well. This is accomplished by…

While classical data analysis has addressed observations that are real numbers or elements of a real vector space, at present many statistical problems of high interest in the sciences address the analysis of data that consist of more…

Adaptive stochastic gradient algorithms in the Euclidean space have attracted much attention lately. Such explorations on Riemannian manifolds, on the other hand, are relatively new, limited, and challenging. This is because of the…

In Riemannian optimization, it is well known that the condition number of the Riemannian Hessian at an optimum strongly influences the asymptotic convergence behavior of optimization algorithms. On the manifold of symmetric positive…

We present a new class of numerical methods for solving stochastic differential equations with additive noise on general Riemannian manifolds with high weak order of accuracy. In opposition to the popular approach with projection methods,…

We consider estimating the parametric components of semi-parametric multiple index models in a high-dimensional and non-Gaussian setting. Such models form a rich class of non-linear models with applications to signal processing, machine…

We observe that solutions of a large class of highly oscillatory second order linear ordinary differential equations can be approximated using nonoscillatory phase functions. In addition, we describe numerical experiments which illustrate…

We consider the problem of estimating an unknown function f* and its partial derivatives from a noisy data set of n observations, where we make no assumptions about f* except that it is smooth in the sense that it has square integrable…

In a real Hilbert space setting, we study the convergence properties of an inexact gradient algorithm featuring both viscous and Hessian driven damping for convex differentiable optimization. In this algorithm, the gradient evaluation can…

Zeroth-order optimization (ZOO) is an important framework for stochastic optimization when gradients are unavailable or expensive to compute. A potential limitation of existing ZOO methods is the bias inherent in most gradient estimators…

We combine the unbiased estimators in Rhee and Glynn (Operations Research: 63(5), 1026-1043, 2015) and the Heston model with stochastic interest rates. Specifically, we first develop a semi-exact log-Euler scheme for the Heston model with…

Stochastic estimators are fundamental to large-scale optimization, where population quantities must be inferred from noisy oracle observations. Although influential methods such as momentum, SPIDER, STORM, and PAGE have been highly…

The adaptive cubic regularization algorithm employing the inexact gradient and Hessian is proposed on general Riemannian manifolds, together with the iteration complexity to get an approximate second-order optimality under certain…

We investigate the boundedness of the $H^\infty$-calculus by estimating the bound $b(\varepsilon)$ of the mapping $H^{\infty}\rightarrow \mathcal{B}(X)$: $f\mapsto f(A)T(\varepsilon)$ for $\varepsilon$ near zero. Here, $-A$ generates the…

The natural gradient method is widely used in statistical optimization, but its standard formulation assumes a Euclidean parameter space. This paper proposes an inversion-free stochastic natural gradient method for probability distributions…

We prove novel convergence results for a stochastic proximal gradient algorithm suitable for solving a large class of convex optimization problems, where a convex objective function is given by the sum of a smooth and a possibly non-smooth…

Let $(\Omega, g)$ be a real analytic Riemannian manifold with real analytic boundary $\partial \Omega$. Let $\psi_{\lambda}$ be an eigenfunction of the Dirichlet-to-Neumann operator $\Lambda$ of $(\Omega, g, \partial \Omega)$ of eigenvalue…