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Stephen J. Wright

5 accepted papers

2024

Complexity of Single Loop Algorithms for Nonlinear Programming with Stochastic Objective and Constraints

AISTATS 2024poster

We analyze the sample complexity of single-loop quadratic penalty and augmented Lagrangian algorithms for solving nonconvex optimization problems with functional equality constraints. We consider three cases, in all of which the objective is stochastic, that is, an expectation over an unknown distri…

Cited by 13SourcePDFScholar
2021

Variance Reduction via Primal-Dual Accelerated Dual Averaging for Nonsmooth Convex Finite-Sums

ICML 2021oral

Structured nonsmooth convex finite-sum optimization appears in many machine learning applications, including support vector machines and least absolute deviation. For the primal-dual formulation of this problem, we propose a novel algorithm called \emph{Variance Reduction via Primal-Dual Accelerated…

Cited by 23SourcePDFScholar
2016

Efficient Bregman Projections onto the Permutahedron and Related Polytopes

AISTATS 2016poster

The problem of projecting onto the permutahedron \mathbfPH(c) – the convex hull of all permutations of a fixed vector c – under a uniformly separable Bregman divergence is shown to be reducible to the Isotonic Optimization problem. This allows us to employ known fast algorithms to improve on several…

Cited by 31SourcePDFScholar