155 citations · 657 across the 41 of their papers we have counts for
5 papers · 1 filter
Sample average approximation with heavier tails II: localization in stochastic convex optimization and persistence results for the Lasso
Roberto I. Oliveira, Philip Thompson
``Localization'' has proven to be a valuable tool in the Statistical Learning literature as it allows sharp risk bounds in terms of the problem geometry. Localized bounds seem to b…
Sample average approximation with heavier tails I: non-asymptotic bounds with weak assumptions and stochastic constraints
Roberto I. Oliveira, Philip Thompson
We derive new and improved non-asymptotic deviation inequalities for the sample average approximation (SAA) of an optimization problem. Our results give strong error probability bo…
Solving SDPs for synchronization and MaxCut problems via the Grothendieck inequality
Song Mei, Theodor Misiakiewicz, Andrea Montanari +1
A number of statistical estimation problems can be addressed by semidefinite programs (SDP). While SDPs are solvable in polynomial time using interior point methods, in practice ge…
Variance-based stochastic extragradient methods with line search for stochastic variational inequalities
Alfredo Iusem, Alejandro Jofré, Roberto I. Oliveira +1
A dynamic sampled stochastic approximated (DS-SA) extragradient method for stochastic variational inequalities (SVI) is proposed that is \emph{robust} with respect to an unknown Li…
Extragradient method with variance reduction for stochastic variational inequalities
Alfredo Iusem, Alejandro Jofré, Roberto I. Oliveira +1
We propose an extragradient method with stepsizes bounded away from zero for stochastic variational inequalities requiring only pseudo-monotonicity. We provide convergence and comp…