相关论文: Efficient Algorithms for A Class of Stochastic Hid…

In recent years, Riemannian stochastic gradient descent (R-SGD), Riemannian stochastic variance reduction (R-SVRG) and Riemannian stochastic recursive gradient (R-SRG) have attracted considerable attention on Riemannian optimization. Under…

We consider the problem of global optimization of an unknown non-convex smooth function with zeroth-order feedback. In this setup, an algorithm is allowed to adaptively query the underlying function at different locations and receives noisy…

Decentralized optimization is a promising parallel computation paradigm for large-scale data analytics and machine learning problems defined over a network of nodes. This paper is concerned with decentralized non-convex composite problems…

We propose a new stochastic L-BFGS algorithm and prove a linear convergence rate for strongly convex and smooth functions. Our algorithm draws heavily from a recent stochastic variant of L-BFGS proposed in Byrd et al. (2014) as well as a…

We study optimization algorithms for the finite sum problems frequently arising in machine learning applications. First, we propose novel variants of stochastic gradient descent with a variance reduction property that enables linear…

Composite convex optimization models arise in several applications, and are especially prevalent in inverse problems with a sparsity inducing norm and in general convex optimization with simple constraints. The most widely used algorithms…

Stochastic gradient methods are the workhorse (algorithms) of large-scale optimization problems in machine learning, signal processing, and other computational sciences and engineering. This paper studies Markov chain gradient descent, a…

With the large rising of complex data, the nonconvex models such as nonconvex loss function and nonconvex regularizer are widely used in machine learning and pattern recognition. In this paper, we propose a class of mini-batch stochastic…

In this paper, we propose Nesterov Accelerated Shuffling Gradient (NASG), a new algorithm for the convex finite-sum minimization problems. Our method integrates the traditional Nesterov's acceleration momentum with different shuffling…

In this paper, we consider a non-convex loss-minimization problem of learning Supervised PageRank models, which can account for some properties not considered by classical approaches such as the classical PageRank model. We propose…

Stochastic Gradient (SG) is the defacto iterative technique to solve stochastic optimization (SO) problems with a smooth (non-convex) objective $f$ and a stochastic first-order oracle. SG's attractiveness is due in part to its simplicity of…

We study computational and statistical consequences of problem geometry in stochastic and online optimization. By focusing on constraint set and gradient geometry, we characterize the problem families for which stochastic- and…

Two new stochastic variance-reduced algorithms named SARAH and SPIDER have been recently proposed, and SPIDER has been shown to achieve a near-optimal gradient oracle complexity for nonconvex optimization. However, the theoretical advantage…

We consider solving a convex, possibly stochastic optimization problem over a randomly time-varying multi-agent network. Each agent has access to some local objective function, and it only has unbiased estimates of the gradients of the…

In the paper, we study the stochastic alternating direction method of multipliers (ADMM) for the nonconvex optimizations, and propose three classes of the nonconvex stochastic ADMM with variance reduction, based on different reduced…

We introduce a new approach to develop stochastic optimization algorithms for a class of stochastic composite and possibly nonconvex optimization problems. The main idea is to combine two stochastic estimators to create a new hybrid one. We…

The study of optimal control problems under uncertainty plays an important role in scientific numerical simulations. This class of optimization problems is strongly utilized in engineering, biology and finance. In this paper, a stochastic…

This paper considers the distributed convex-concave minimax optimization under the second-order similarity. We propose stochastic variance-reduced optimistic gradient sliding (SVOGS) method, which takes the advantage of the finite-sum…

We consider a class of optimization problems with Cartesian variational inequality (CVI) constraints, where the objective function is convex and the CVI is associated with a monotone mapping and a convex Cartesian product set. This…

In this paper, we propose a single-loop stochastic gradient algorithm for solving stochastic nonconvex-concave minimax optimization with nonlinear convex coupled constraints (MCC). The proposed method, SPACO (Stochastic Penalty-based…