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  1. A sequential quadratic optimization algorithm is proposed for solving smooth nonlinear-equality-constrained optimization problems in which the objective function is defined by an expectation. The algorithmic structure of the proposed method is based on a step decomposition strategy that is known in the literature to be widely effective in practice, wherein each search direction is computed as the sum of a normal step (toward linearized feasibility) and a tangential step (toward objective decrease in the null space of the constraint Jacobian). However, the proposed method is unique from others in the literature in that it both allows the use of stochastic objective gradient estimates and possesses convergence guarantees even in the setting in which the constraint Jacobians may be rank-deficient. The results of numerical experiments demonstrate that the algorithm offers superior performance when compared with popular alternatives. 
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    Free, publicly-accessible full text available October 30, 2024
  2. Free, publicly-accessible full text available June 7, 2024
  3. Optimization problems with group sparse regularization are ubiquitous in various popular downstream applications, such as feature selection and compression for Deep Neural Networks (DNNs). Nonetheless, the existing methods in the literature do not perform particularly well when such regularization is used in combination with a stochastic loss function. In particular, it is challenging to design a computationally efficient algorithm with a convergence guarantee and can compute group-sparse solutions. Recently, a half-space stochastic projected gradient ({\tt HSPG}) method was proposed that partly addressed these challenges. This paper presents a substantially enhanced version of {\tt HSPG} that we call~{\tt AdaHSPG+} that makes two noticeable advances. First, {\tt AdaHSPG+} is shown to have a stronger convergence result under significantly looser assumptions than those required by {\tt HSPG}. This improvement in convergence is achieved by integrating variance reduction techniques with a new adaptive strategy for iteratively predicting the support of a solution. Second, {\tt AdaHSPG+} requires significantly less parameter tuning compared to {\tt HSPG}, thus making it more practical and user-friendly. This advance is achieved by designing automatic and adaptive strategies for choosing the type of step employed at each iteration and for updating key hyperparameters. The numerical effectiveness of our proposed {\tt AdaHSPG+} algorithm is demonstrated on both convex and non-convex benchmark problems. The source code is available at \url{}. 
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    Free, publicly-accessible full text available June 1, 2024
  4. Abstract Arguably, the two most popular accelerated or momentum-based optimization methods in machine learning are Nesterov’s accelerated gradient and Polyaks’s heavy ball, both corresponding to different discretizations of a particular second order differential equation with friction. Such connections with continuous-time dynamical systems have been instrumental in demystifying acceleration phenomena in optimization. Here we study structure-preserving discretizations for a certain class of dissipative (conformal) Hamiltonian systems, allowing us to analyse the symplectic structure of both Nesterov and heavy ball, besides providing several new insights into these methods. Moreover, we propose a new algorithm based on a dissipative relativistic system that normalizes the momentum and may result in more stable/faster optimization. Importantly, such a method generalizes both Nesterov and heavy ball, each being recovered as distinct limiting cases, and has potential advantages at no additional cost. 
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  5. null (Ed.)