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06/30/2023
Accelerating Inexact HyperGradient Descent for Bilevel Optimization
We present a method for solving general nonconvex-strongly-convex bileve...
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10/31/2022
Nesterov Meets Optimism: Rate-Optimal Optimistic-Gradient-Based Method for Stochastic Bilinearly-Coupled Minimax Optimization
We provide a novel first-order optimization algorithm for bilinearly-cou...
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09/30/2022
A General Framework for Sample-Efficient Function Approximation in Reinforcement Learning
With the increasing need for handling large state and action spaces, gen...
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08/10/2022
Learning Two-Player Mixture Markov Games: Kernel Function Approximation and Correlated Equilibrium
We consider learning Nash equilibria in two-player zero-sum Markov Games...
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06/17/2022
Optimal Extragradient-Based Bilinearly-Coupled Saddle-Point Optimization
We consider the smooth convex-concave bilinearly-coupled saddle-point pr...
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12/29/2021
Nonconvex Stochastic Scaled-Gradient Descent and Generalized Eigenvector Problems
Motivated by the problem of online canonical correlation analysis, we pr...
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06/30/2021
On the Convergence of Stochastic Extragradient for Bilinear Games with Restarted Iteration Averaging
We study the stochastic bilinear minimax optimization problem, presentin...
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12/28/2020
Stochastic Approximation for Online Tensorial Independent Component Analysis
Independent component analysis (ICA) has been a popular dimension reduct...
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08/28/2020
ROOT-SGD: Sharp Nonasymptotics and Asymptotic Efficiency in a Single Algorithm
The theory and practice of stochastic optimization has focused on stocha...
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04/09/2020
On Linear Stochastic Approximation: Fine-grained Polyak-Ruppert and Non-Asymptotic Concentration
We undertake a precise study of the asymptotic and non-asymptotic proper...
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03/07/2020
Stochastic Modified Equations for Continuous Limit of Stochastic ADMM
Stochastic version of alternating direction method of multiplier (ADMM) ...
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12/29/2018
Hessian-Aware Zeroth-Order Optimization for Black-Box Adversarial Attack
Zeroth-order optimization or derivative-free optimization is an importan...
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09/06/2018
A note on concentration inequality for vector-valued martingales with weak exponential-type tails
We present novel martingale concentration inequalities for martingale di...
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08/29/2018
Diffusion Approximations for Online Principal Component Estimation and Global Convergence
In this paper, we propose to adopt the diffusion approximation tools to ...
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08/29/2018
Online ICA: Understanding Global Dynamics of Nonconvex Optimization via Diffusion Processes
Solving statistical learning problems often involves nonconvex optimizat...
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07/04/2018
SPIDER: Near-Optimal Non-Convex Optimization via Stochastic Path Integrated Differential Estimator
In this paper, we propose a new technique named Stochastic Path-Integrat...
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09/02/2017
A convergence analysis of the perturbed compositional gradient flow: averaging principle and normal deviations
We consider in this work a system of two stochastic differential equatio...
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05/22/2017
Batch Size Matters: A Diffusion Approximation Framework on Nonconvex Stochastic Gradient Descent
In this paper, we study the stochastic gradient descent method in analyz...
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03/16/2016