相关论文: SGMM: Stochastic Approximation to Generalized Meth…

A framework previously introduced in [3] for solving a sequence of stochastic optimization problems with bounded changes in the minimizers is extended and applied to machine learning problems such as regression and classification. The…

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.…

We present a variational method for online state estimation and parameter learning in state-space models (SSMs), a ubiquitous class of latent variable models for sequential data. As per standard batch variational techniques, we use…

Along with developing of Peaceman-Rachford Splittling Method (PRSM), many batch algorithms based on it have been studied very deeply. But almost no algorithm focused on the performance of stochastic version of PRSM. In this paper, we…

The recently proposed Sampling Kaczmarz Motzkin (SKM) algorithm performs well in comparison with the state-of-the-art methods in solving large-scale Linear Feasibility (LF) problems. To explore the concept of momentum in the context of…

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…

Stochastic gradient descent in continuous time (SGDCT) provides a computationally efficient method for the statistical learning of continuous-time models, which are widely used in science, engineering, and finance. The SGDCT algorithm…

We propose the Gaussian-Linear Hidden Markov model (GLHMM), a generalisation of different types of HMMs commonly used in neuroscience. In short, the GLHMM is a general framework where linear regression is used to flexibly parameterise the…

We propose a hybrid method for accurately estimating the score function, i.e., the gradient of the log steady-state density, using a Gaussian Mixture Model (GMM) in conjunction with a bisecting K-means clustering step. Our approach, which…

Stochastic gradient MCMC (SG-MCMC) algorithms have proven useful in scaling Bayesian inference to large datasets under an assumption of i.i.d data. We instead develop an SG-MCMC algorithm to learn the parameters of hidden Markov models…

We present an approach for efficiently training Gaussian Mixture Model (GMM) by Stochastic Gradient Descent (SGD) with non-stationary, high-dimensional streaming data. Our training scheme does not require data-driven parameter…

This paper presents a comprehensive analysis of a broad range of variations of the stochastic proximal point method (SPPM). Proximal point methods have attracted considerable interest owing to their numerical stability and robustness…

The stochastic heavy ball momentum (SHBM) method has gained considerable popularity as a scalable approach for solving large-scale optimization problems. However, one limitation of this method is its reliance on prior knowledge of certain…

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…

Inference for spatial generalized linear mixed models (SGLMMs) for high-dimensional non-Gaussian spatial data is computationally intensive. The computational challenge is due to the high-dimensional random effects and because Markov chain…

Stochastic approximation techniques play an important role in solving many problems encountered in machine learning or adaptive signal processing. In these contexts, the statistics of the data are often unknown a priori or their direct…

Sequential Monte Carlo (SMC) methods are a class of techniques to sample approximately from any sequence of probability distributions using a combination of importance sampling and resampling steps. This paper is concerned with the…

We consider the variable selection problem of generalized linear models (GLMs). Stability selection (SS) is a promising method proposed for solving this problem. Although SS provides practical variable selection criteria, it is…

Online statistical inference facilitates real-time analysis of sequentially collected data, making it different from traditional methods that rely on static datasets. This paper introduces a novel approach to online inference in…

Stochastic gradient descent based algorithms are typically used as the general optimization tools for most deep learning models. A Restricted Boltzmann Machine (RBM) is a probabilistic generative model that can be stacked to construct deep…