相关论文: Online Heavy-tailed Change-point detection

We study high-probability convergence guarantees of learning on streaming data in the presence of heavy-tailed noise. In the proposed scenario, the model is updated in an online fashion, as new information is observed, without storing any…

Gradient clipping is a fundamental tool in Deep Learning, improving the high-probability convergence of stochastic first-order methods like SGD, AdaGrad, and Adam under heavy-tailed noise, which is common in training large language models.…

We consider the problem of high-dimensional heavy-tailed statistical estimation in the streaming setting, which is much harder than the traditional batch setting due to memory constraints. We cast this problem as stochastic convex…

Optimization under heavy-tailed noise has become popular recently, since it better fits many modern machine learning tasks, as captured by empirical observations. Concretely, instead of a finite second moment on gradient noise, a bounded…

Online change-point detection (OCPD) is important for application in various areas such as finance, biology, and the Internet of Things (IoT). However, OCPD faces major challenges due to high-dimensionality, and it is still rarely studied…

In this paper, we propose a new accelerated stochastic first-order method called clipped-SSTM for smooth convex stochastic optimization with heavy-tailed distributed noise in stochastic gradients and derive the first high-probability…

Gradient clipping is a commonly used technique to stabilize the training process of neural networks. A growing body of studies has shown that gradient clipping is a promising technique for dealing with the heavy-tailed behavior that emerged…

Given a sequence of random (directed and weighted) graphs, we address the problem of online monitoring and detection of changes in the underlying data distribution. Our idea is to endow sequential change-point detection (CPD) techniques…

While the convergence behaviors of stochastic gradient methods are well understood \emph{in expectation}, there still exist many gaps in the understanding of their convergence with \emph{high probability}, where the convergence rate has a…

Recent empirical evidence indicates that many machine learning applications involve heavy-tailed gradient noise, which challenges the standard assumptions of bounded variance in stochastic optimization. Gradient clipping has emerged as a…

Standard online change point detection (CPD) methods tend to have large false discovery rates as their detections are sensitive to outliers. To overcome this drawback, we propose Greedy Online Change Point Detection (GOCPD), a…

The study of tail behaviour of SGD-induced processes has been attracting a lot of interest, due to offering strong guarantees with respect to individual runs of an algorithm. While many works provide high-probability guarantees, quantifying…

This paper studies the convergence of clipped stochastic gradient descent (SGD) algorithms with decision-dependent data distribution. Our setting is motivated by privacy preserving optimization algorithms that interact with performative…

Differentially Private Stochastic Gradient Descent (DPSGD) is widely utilized to preserve training data privacy in deep learning, which first clips the gradients to a predefined norm and then injects calibrated noise into the training…

Recent studies have provided both empirical and theoretical evidence illustrating that heavy tails can emerge in stochastic gradient descent (SGD) in various scenarios. Such heavy tails potentially result in iterates with diverging…

We consider a first order stochastic optimization framework where, at each iteration, $K$ independent identically distributed (i.i.d.) data point samples are drawn, based on which stochastic gradients can be queried. We allow gradient noise…

We consider stochastic convex optimization for heavy-tailed data with the guarantee of being differentially private (DP). Most prior works on differentially private stochastic convex optimization for heavy-tailed data are either restricted…

We propose a grid-based methodology for online changepoint detection that allows offline changepoint tests to be applied to sequentially observed data. The methodology achieves low update and storage costs by testing for changepoints over a…

Gradient clipping is a widely used technique in Machine Learning and Deep Learning (DL), known for its effectiveness in mitigating the impact of heavy-tailed noise, which frequently arises in the training of large language models.…

In Online Convex Optimization (OCO), when the stochastic gradient has a finite variance, many algorithms provably work and guarantee a sublinear regret. However, limited results are known if the gradient estimate has a heavy tail, i.e., the…