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Streaming Solutions for Time-Varying Optimization Problems
Tomer Hamam, Justin Romberg
This paper studies streaming optimization problems that have objectives of the form . In particular, we are interested in how the sol…
Decentralized Feature-Distributed Optimization for Generalized Linear Models
Brighton Ancelin, Sohail Bahmani, Justin Romberg
We consider the "all-for-one" decentralized learning problem for generalized linear models. The features of each sample are partitioned among several collaborating agents in a conn…
Finite-Time Complexity of Online Primal-Dual Natural Actor-Critic Algorithm for Constrained Markov Decision Processes
Sihan Zeng, Thinh T. Doan, Justin Romberg
We consider a discounted cost constrained Markov decision process (CMDP) policy optimization problem, in which an agent seeks to maximize a discounted cumulative reward subject to…
A Two-Time-Scale Stochastic Optimization Framework with Applications in Control and Reinforcement Learning
Sihan Zeng, Thinh T. Doan, Justin Romberg
We study a new two-time-scale stochastic gradient method for solving optimization problems, where the gradients are computed with the aid of an auxiliary variable under samples gen…