相关论文: Stochastic Dimension-reduced Second-order Methods …
We study two-stage distributionally robust optimization (DRO) problems with decision-dependent information discovery (DDID) wherein (a portion of) the uncertain parameters are revealed only if an (often costly) investment is made in the…
Deep reinforcement learning has been able to solve various tasks successfully, however, due to the construction of policy gradient and training dynamics, tuning deep reinforcement learning models remains challenging. As one of the most…
Recently a majorization method for optimizing partition functions of log-linear models was proposed alongside a novel quadratic variational upper-bound. In the batch setting, it outperformed state-of-the-art first- and second-order…
User-level differentially private stochastic convex optimization (DP-SCO) has garnered significant attention due to the paramount importance of safeguarding user privacy in modern large-scale machine learning applications. Current methods,…
The use of momentum in stochastic optimization algorithms has shown empirical success across a range of machine learning tasks. Recently, a new class of stochastic momentum algorithms has emerged within the Linear Minimization Oracle (LMO)…
Optimizing smooth convex functions in stochastic settings, where only noisy estimates of gradients and Hessians are available, is a fundamental problem in optimization. While first-order methods possess a low per-iteration cost, their…
This paper presents a novel adaptive-sparse polynomial dimensional decomposition (PDD) method for stochastic design optimization of complex systems. The method entails an adaptive-sparse PDD approximation of a high-dimensional stochastic…
Trust region policy optimization (TRPO) is a popular and empirically successful policy search algorithm in Reinforcement Learning (RL) in which a surrogate problem, that restricts consecutive policies to be 'close' to one another, is…
This paper presents the design and analysis of a Hybrid High-Order (HHO) approximation for a distributed optimal control problem governed by the Poisson equation. We propose three distinct schemes to address unconstrained control problems…
Stochastic and (distributionally) robust optimization problems often become computationally challenging as the number of scenarios or data points increases. Scenario reduction is therefore a key technique for improving tractability. We…
This paper introduces a novel Homogeneous Second-order Descent Ascent (HSDA) algorithm for nonconvex-strongly concave minimax optimization problems. At each iteration, HSDA uniquely computes a search direction by solving a homogenized…
Second-order optimization methods offer notable advantages in training deep neural networks by utilizing curvature information to achieve faster convergence. However, traditional second-order techniques are computationally prohibitive,…
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…
Mirror descent (MD), a well-known first-order method in constrained convex optimization, has recently been shown as an important tool to analyze trust-region algorithms in reinforcement learning (RL). However, there remains a considerable…
In the paper, we design a novel Bregman gradient policy optimization framework for reinforcement learning based on Bregman divergences and momentum techniques. Specifically, we propose a Bregman gradient policy optimization (BGPO) algorithm…
We consider a general class of two-stage distributionally robust optimization (DRO) problems where the ambiguity set is constrained by fixed marginal probability laws that are not necessarily discrete. We derive primal and dual formulations…
We develop two compression based stochastic gradient algorithms to solve a class of non-smooth strongly convex-strongly concave saddle-point problems in a decentralized setting (without a central server). Our first algorithm is a…
Differentially private distributed stochastic optimization has become a hot topic due to the urgent need of privacy protection in distributed stochastic optimization. In this paper, two-time scale stochastic approximation-type algorithms…
Bayesian optimization (BO) is a leading method for optimizing expensive black-box optimization and has been successfully applied across various scenarios. However, BO suffers from the curse of dimensionality, making it challenging to scale…
Stochastic optimization methods have become a class of popular optimization tools in machine learning. Especially, stochastic gradient descent (SGD) has been widely used for machine learning problems such as training neural networks due to…