A locally-built, LLM-digested index of recent arXiv papers in quant finance, geometry/topology, and statistical ML — keyword search served straight from SQLite on this machine.
The paper studies the solution of stochastic optimization problems in which approximations to the gradient and Hessian are obtained through subsampling. We first consider Newton-like methods that employ these approximations and discuss how to coordinate the accuracy in the gradient and Hessian to yield a superlinear ra…
Recently several methods were proposed for sparse optimization which make careful use of second-order information [10, 28, 16, 3] to improve local convergence rates. These methods construct a composite quadratic approximation using Hessian information, optimize this approximation using a first-order method, such as coo…
New algorithm improves convergence of gradient boosting trees.
problem Global convergence of Newton boosting in tabular machine learning.
method Introduces Gradient Regularized Newton Descent for GBDTs, proving linear convergence for smooth, strongly convex losses and O(k21) rate for general convex losses.
result Achieves globally convergent second-order GBDT algorithm with rate matching first-order boosting.
Large scale optimization problems are ubiquitous in machine learning and data analysis and there is a plethora of algorithms for solving such problems. Many of these algorithms employ sub-sampling, as a way to either speed up the computations and/or to implicitly implement a form of statistical regularization. In this …
In machine learning research, the proximal gradient methods are popular for solving various optimization problems with non-smooth regularization. Inexact proximal gradient methods are extremely important when exactly solving the proximal operator is time-consuming, or the proximal operator does not have an analytic sol…
This paper analyzes the bias of inexact MCMC methods in high dimensions.
problem Understanding the bias of inexact MCMC methods in high-dimensional spaces.
method Establishing bounds on Wasserstein distances between inexact MCMC methods and target distributions.
result The asymptotic bias of ULA and uHMC depends on key quantities related to the target distribution or the stationary probability measure of the scheme.
Evolutionary forms, as well as exterior forms, are skew-symmetric differential forms. But in contrast to the exterior forms, the basis of evolutionary forms is deforming manifolds (with unclosed metric forms). Such forms possess a peculiarity, namely, the closed inexact exterior forms are obtained from that. The closur…
We propose novel first-order stochastic approximation algorithms for canonical correlation analysis (CCA). Algorithms presented are instances of inexact matrix stochastic gradient (MSG) and inexact matrix exponentiated gradient (MEG), and achieve ε-suboptimality in the population objective in $\operatorname{poly}(\fr…
Second order Sobolev metrics are a useful tool in the shape analysis of curves. In this paper we combine these metrics with varifold-based inexact matching to explore a new strategy of computing geodesics between unparametrized curves. We describe the numerical method used for solving the inexact matching problem, appl…
In this paper we consider the problem of minimizing a convex function using a randomized block coordinate descent method. One of the key steps at each iteration of the algorithm is determining the update to a block of variables. Existing algorithms assume that in order to compute the update, a particular subproblem is …
The study proves that certain noncompact Hessian manifolds are diffeomorphic to R^n.
problem Characterizing complete noncompact Hessian manifolds with nonnegative Hessian sectional curvature.
method Using a geometric flow on noncompact affine Riemannian manifolds, constructing Hessian metrics, and proving diffeomorphism.
result Complete noncompact Hessian manifolds with nonnegative Hessian sectional curvature are diffeomorphic to R^n if their tangent bundle has maximal volume growth.