Tong Zhang This paper focuses on decentralized stochastic bilevel optimization (DSBO) where agents only communicate with their neighbors. We propose Decentralized Stochastic Gradient Descent and Ascent with Gradient Tracking (DSGDA-GT), a novel algorithm that only requires first-order oracles that are much cheaper than second-order oracles widely adopted in existing works. We further provide a finite-time convergence analysis … Read more
Dual averaging-type methods are widely used in industrial machine learning applications due to their ability to promoting solution structure (e.g., sparsity) efficiently. In this paper, we propose a novel accelerated dual-averaging primal-dual algorithm for minimizing a composite convex function. We also derive a stochastic version of the proposed method which solves empirical risk minimization, and … Read more
We consider optimization problems over the Stiefel manifold whose objective function is the summation of a smooth function and a nonsmooth function. Existing methods for solving this kind of problems can be classified into three classes. Algorithms in the first class rely on information of the subgradients of the objective function and thus tend to … Read more
Regularized empirical risk minimization problem with linear predictor appears frequently in machine learning. In this paper, we propose a new stochastic primal-dual method to solve this class of problems. Different from existing methods, our proposed methods only require O(1) operations in each iteration. We also develop a variance-reduction variant of the algorithm that converges linearly. … Read more