209 citations · 415 across the 30 of their papers we have counts for
4 papers · 2 filters
A Model-Based Method for Minimizing CVaR and Beyond
Si Yi Meng, Robert M. Gower
We develop a variant of the stochastic prox-linear method for minimizing the Conditional Value-at-Risk (CVaR) objective. CVaR is a risk measure focused on minimizing worst-case per…
A Bregman-Kaczmarz method for nonlinear systems of equations
Robert Gower, Dirk A. Lorenz, Maximilian Winkler
We propose a new randomized method for solving systems of nonlinear equations, which can find sparse solutions or solutions under certain simple constraints. The scheme only takes…
Handbook of Convergence Theorems for (Stochastic) Gradient Methods
Guillaume Garrigos, Robert M. Gower
This is a handbook of simple proofs of the convergence of gradient and stochastic gradient descent type methods. We consider functions that are Lipschitz, smooth, convex, strongly…
A Stochastic Proximal Polyak Step Size
Fabian Schaipp, Robert M. Gower, Michael Ulbrich
Recently, the stochastic Polyak step size (SPS) has emerged as a competitive adaptive step size scheme for stochastic gradient descent. Here we develop ProxSPS, a proximal variant…