相关论文: The Modified MSA, a Gradient Flow and Convergence

In this paper, we propose a unified view of gradient-based algorithms for stochastic convex composite optimization by extending the concept of estimate sequence introduced by Nesterov. More precisely, we interpret a large class of…

In this paper, we proposed a new technique, {\em variance controlled stochastic gradient} (VCSG), to improve the performance of the stochastic variance reduced gradient (SVRG) algorithm. To avoid over-reducing the variance of gradient by…

We study a new two-time-scale stochastic gradient method for solving optimization problems, where the gradients are computed with the aid of an auxiliary variable under samples generated by time-varying MDPs controlled by the underlying…

Stochastic optimization methods have been hugely successful in making large-scale optimization problems feasible when computing the full gradient is computationally prohibitive. Using the theory of modified equations for numerical…

We introduce a novel method for non-convex optimization, called Swarm-based Simulated Annealing (SSA), which is at the interface between the swarm-based gradient-descent (SBGD) [J. Lu et. al., ArXiv:2211.17157; E.Tadmor and A. Zenginoglu,…

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…

Dual averaging and gradient descent with their stochastic variants stand as the two canonical recipe books for first-order optimization: Every modern variant can be viewed as a descendant of one or the other. In the convex regime, these…

Multi-objective optimization (MOO) is receiving more attention in various fields such as multi-task learning. Recent works provide some effective algorithms with theoretical analysis but they are limited by the standard $L$-smooth or…

This paper presents a proximal-point-based catalyst scheme for simple first-order methods applied to convex minimization and convex-concave minimax problems. In particular, for smooth and (strongly)-convex minimization problems, the…

Nonconvex and nonsmooth optimization problems are frequently encountered in much of statistics, business, science and engineering, but they are not yet widely recognized as a technology in the sense of scalability. A reason for this…

The Alternating Direction Method of Multipliers (ADMM) has been studied for years. The traditional ADMM algorithm needs to compute, at each iteration, an (empirical) expected loss function on all training examples, resulting in a…

Minimax optimization recently is widely applied in many machine learning tasks such as generative adversarial networks, robust learning and reinforcement learning. In the paper, we study a class of nonconvex-nonconcave minimax optimization…

We provide new adaptive first-order methods for constrained convex optimization. Our main algorithms AdaACSA and AdaAGD+ are accelerated methods, which are universal in the sense that they achieve nearly-optimal convergence rates for both…

In this article we consider an optimization problem where the objective function is evaluated at the fixed-point of a contraction mapping parameterized by a control variable, and optimization takes place over this control variable. Since…

Stochastic Optimal Control Problems (SOCPs) plays a major role in the sequential decision-making challenges. There exist various iterative algorithms, under framework of stochastic maximum principle, that sequentially find the optimal…

Here we study non-convex composite optimization: first, a finite-sum of smooth but non-convex functions, and second, a general function that admits a simple proximal mapping. Most research on stochastic methods for composite optimization…

We investigate the Randomized Stochastic Accelerated Gradient (RSAG) method, utilizing either constant or adaptive step sizes, for stochastic optimization problems with generalized smooth objective functions. Under relaxed affine variance…

Gradient Descent (GD) is a ubiquitous algorithm for finding the optimal solution to an optimization problem. For reduced computational complexity, the optimal solution $\mathrm{x^*}$ of the optimization problem must be attained in a minimum…

We propose a stochastic conditional gradient method (CGM) for minimizing convex finite-sum objectives formed as a sum of smooth and non-smooth terms. Existing CGM variants for this template either suffer from slow convergence rates, or…

Motivated by applications in large-scale and multi-agent reinforcement learning, we study the non-asymptotic performance of stochastic approximation (SA) schemes with delayed updates under Markovian sampling. While the effect of delays has…