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math.OC2022★ 1 cited
Nesterov Meets Optimism: Rate-Optimal Separable Minimax Optimization
Chris Junchi Li, Angela Yuan, Gauthier Gidel +2
We propose a new first-order optimization algorithm -- AcceleratedGradient-OptimisticGradient (AG-OG) Descent Ascent -- for separable convex-concave minimax optimization. The main…
math.OC2020★ 8 cited
Stochastic Recursive Momentum Method for Non-Convex Compositional Optimization
Huizhuo Yuan, Wenqing Hu
We propose a novel stochastic optimization algorithm called STOchastic Recursive Momentum for Compositional (STORM-Compositional) optimization that minimizes the composition of exp…
math.OC2020★ 2 cited
Stochastic Modified Equations for Continuous Limit of Stochastic ADMM
Xiang Zhou, Huizhuo Yuan, Chris Junchi Li +1
Stochastic version of alternating direction method of multiplier (ADMM) and its variants (linearized ADMM, gradient-based ADMM) plays a key role for modern large scale machine lear…