相关论文: ReSQueing Parallel and Private Stochastic Convex O…

We lower bound the complexity of finding $\epsilon$-stationary points (with gradient norm at most $\epsilon$) using stochastic first-order methods. In a well-studied model where algorithms access smooth, potentially non-convex functions…

We consider the nonsmooth convex composition optimization problem where the objective is a composition of two finite-sum functions and analyze stochastic compositional variance reduced gradient (SCVRG) methods for them. SCVRG and its…

Stochastic optimization via Stochastic Gradient Descent (SGD) is a fundamental problem in statistics and optimization. This paper revisits Stochastic Gradient Descent (SGD) for strongly convex objectives, establishing tight, uniform-in-time…

We analyze the global and local behavior of gradient-like flows under stochastic errors towards the aim of solving convex optimization problems with noisy gradient input. We first study the unconstrained differentiable convex case, using a…

State-of-the-art optimization is steadily shifting towards massively parallel pipelines with extremely large batch sizes. As a consequence, CPU-bound preprocessing and disk/memory/network operations have emerged as new performance…

In this paper, we propose a new technique named \textit{Stochastic Path-Integrated Differential EstimatoR} (SPIDER), which can be used to track many deterministic quantities of interest with significantly reduced computational cost. We…

Interesting theoretical associations have been established by recent papers between the fields of active learning and stochastic convex optimization due to the common role of feedback in sequential querying mechanisms. In this paper, we…

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…

For minimizing a strongly convex objective function subject to linear inequality constraints, we consider a penalty approach that allows one to utilize stochastic methods for problems with a large number of constraints and/or objective…

In this paper, we propose a novel sufficient decrease technique for stochastic variance reduced gradient descent methods such as SVRG and SAGA. In order to make sufficient decrease for stochastic optimization, we design a new sufficient…

Many modern large-scale machine learning problems benefit from decentralized and stochastic optimization. Recent works have shown that utilizing both decentralized computing and local stochastic gradient estimates can outperform…

Stochastic First-Order (SFO) methods have been a cornerstone in addressing a broad spectrum of modern machine learning (ML) challenges. However, their efficacy is increasingly questioned, especially in large-scale applications where…

We consider stochastic strongly convex optimization with a complex inequality constraint. This complex inequality constraint may lead to computationally expensive projections in algorithmic iterations of the stochastic gradient…

The stochastic gradient (SG) method can minimize an objective function composed of a large number of differentiable functions, or solve a stochastic optimization problem, to a moderate accuracy. The block coordinate descent/update (BCD)…

Stochastic equations play an important role in computational science, due to their ability to treat a wide variety of complex statistical problems. However, current algorithms are strongly limited by their sampling variance, which scales…

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…

We consider a smoothed online convex optimization (SOCO) problem with predictions, where the learner has access to a finite lookahead window of time-varying stage costs, but suffers a switching cost for changing its actions at each stage.…

This paper proposes a differentially private gradient-tracking-based distributed stochastic optimization algorithm over directed graphs. In particular, privacy noises are incorporated into each agent's state and tracking variable to…

We consider stochastic convex optimization with a strongly convex (but not necessarily smooth) objective. We give an algorithm which performs only gradient updates with optimal rate of convergence.

We consider a distributed convex optimization problem in a network which is time-varying and not always strongly connected. The local cost function of each node is affected by some stochastic process. All nodes of the network collaborate to…