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stat.ML2022
Statistical inference with implicit SGD: proximal Robbins-Monro vs. Polyak-Ruppert
Yoonhyung Lee, Sungdong Lee, Joong-Ho Won
The implicit stochastic gradient descent (ISGD), a proximal version of SGD, is gaining interest in the literature due to its stability over (explicit) SGD. In this paper, we conduc…
math.OC2022
A unified analysis of convex and non-convex lp-ball projection problems
Joong-Ho Won, Kenneth Lange, Jason Xu
The task of projecting onto norm balls is ubiquitous in statistics and machine learning, yet the availability of actionable algorithms for doing so is largely limited to t…