相关论文: On adaptive stochastic heavy ball momentum for sol…

Stochastic gradient descent (SGD) with stochastic momentum is popular in nonconvex stochastic optimization and particularly for the training of deep neural networks. In standard SGD, parameters are updated by improving along the path of the…

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…

We introduce a novel and efficient algorithm called the stochastic approximate gradient descent (SAGD), as an alternative to the stochastic gradient descent for cases where unbiased stochastic gradients cannot be trivially obtained.…

Gaussian Mixture Models (GMMs) are one of the most potent parametric density models used extensively in many applications. Flexibly-tied factorization of the covariance matrices in GMMs is a powerful approach for coping with the challenges…

The stochastic momentum method is a commonly used acceleration technique for solving large-scale stochastic optimization problems in artificial neural networks. Current convergence results of stochastic momentum methods under non-convex…

We present a theoretical analysis of some popular adaptive Stochastic Gradient Descent (SGD) methods in the small learning rate regime. Using the stochastic modified equations framework introduced by Li et al., we derive effective…

A class of optimization problems characterized by a weighted finite-sum objective function subject to box constraints is considered. We propose a novel stochastic optimization method, named AS-BOX (\text{A}ddi\-ti\-onal \text{S}ampling for…

Optimization problems with the objective function in the form of weighted sum and linear equality constraints are considered. Given that the number of local cost functions can be large as well as the number of constraints, a stochastic…

This paper proposes SMADMM, a single-loop Stochastic Momentum Alternating Direction Method of Multipliers for solving a class of nonconvex and nonsmooth composite optimization problems. SMADMM achieves the optimal oracle complexity of…

This paper concerns models and convergence principles for dealing with stochasticity in a wide range of algorithms arising in nonlinear analysis and optimization in Hilbert spaces. It proposes a flexible geometric framework within which…

Within the current sphere of deep learning research, despite the extensive application of optimization algorithms such as Stochastic Gradient Descent (SGD) and Adaptive Moment Estimation (Adam), there remains a pronounced inadequacy in…

The primary goal of this paper is to provide an efficient solution algorithm based on the augmented Lagrangian framework for optimization problems with a stochastic objective function and deterministic constraints. Our main contribution is…

Adam is a widely used stochastic optimization method for deep learning applications. While practitioners prefer Adam because it requires less parameter tuning, its use is problematic from a theoretical point of view since it may not…

We consider a distributed stochastic approximation (SA) scheme for computing an equilibrium of a stochastic Nash game. Standard SA schemes employ diminishing steplength sequences that are square summable but not summable. Such requirements…

An instance-weighted variant of the support vector machine (SVM) has attracted considerable attention recently since they are useful in various machine learning tasks such as non-stationary data analysis, heteroscedastic data modeling,…

In this paper, we propose a unified framework of inexact stochastic Alternating Direction Method of Multipliers (ADMM) for solving nonconvex problems subject to linear constraints, whose objective comprises an average of finite-sum smooth…

In clinical trials, studies often present longitudinal data or clustered data. These studies are commonly analyzed using linear mixed models (LMMs), usually considering Gaussian assumptions for random effect and error terms. Recently,…

We consider chance-constrained problems with discrete random distribution. We aim for problems with a large number of scenarios. We propose a novel method based on the stochastic gradient descent method which performs updates of the…

Sequential Monte Carlo (SMC) methods are not only a popular tool in the analysis of state space models, but offer an alternative to MCMC in situations where Bayesian inference must proceed via simulation. This paper introduces a new SMC…

In the last few decades, Markov chain Monte Carlo (MCMC) methods have been widely applied to Bayesian updating of structural dynamic models in the field of structural health monitoring. Recently, several MCMC algorithms have been developed…