arXiv Machine Learning

Accelerated Stochastic Min-Max Optimization Based on Bias-corrected Momentum

arXiv:2406. 13041v3 Announce Type: replace Abstract: Lower-bound analyses for nonconvex strongly-concave minimax optimization problems have shown that stochastic first-order algorithms require at least $\mathcal{O}(\varepsilon^{-4})$ sample complexity to find an $\varepsilon$-stationary point.

arXiv Machine Learning
Jul 2

Towards Weaker Variance Assumptions for Stochastic Optimization

arXiv:2504. 09951v2 Announce Type: replace-cross Abstract: We revisit a classical assumption for analyzing stochastic gradient algorithms where the squared norm of the stochastic subgradient (or the variance for smooth problems) is allowed to grow as fast as the squared norm of the optimization variable.

By Ahmet Alacaoglu, Yura Malitsky, Stephen J. Wright
arXiv Machine Learning
Aug 28

A unified convergence theory for adaptive first-order methods in the nonconvex case, including AdaNorm, full and diagonal AdaGrad and Muon

The paper introduces a unified framework for first‑order optimization algorithms applied to nonconvex unconstrained problems. It incorporates adaptively preconditioned gradients and covers popular methods such as full and diagonal AdaGrad, AdaNorm, and an adaptive variant of Muon. The framework supports heterogeneous geometries across variable groups and provides a fully stochastic global convergence analysis for all methods, with or without two types of momentum, under reasonable variance assumptions without requiring bounded stochastic gradients or small step sizes.

By S. Gratton, Ph. L. Toint