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A Universally Optimal Multistage Accelerated Stochastic Gradient Method
Necdet Serhat Aybat · Alireza Fallah · Mert Gurbuzbalaban · Asuman Ozdaglar

Wed Dec 11 10:45 AM -- 12:45 PM (PST) @ East Exhibition Hall B + C #159

We study the problem of minimizing a strongly convex, smooth function when we have noisy estimates of its gradient. We propose a novel multistage accelerated algorithm that is universally optimal in the sense that it achieves the optimal rate both in the deterministic and stochastic case and operates without knowledge of noise characteristics. The algorithm consists of stages that use a stochastic version of Nesterov's method with a specific restart and parameters selected to achieve the fastest reduction in the bias-variance terms in the convergence rate bounds.

Author Information

Necdet Serhat Aybat (Penn State University)
Alireza Fallah (MIT)
Mert Gurbuzbalaban (Rutgers)
Asuman Ozdaglar (Massachusetts Institute of Technology)

Asu Ozdaglar received the B.S. degree in electrical engineering from the Middle East Technical University, Ankara, Turkey, in 1996, and the S.M. and the Ph.D. degrees in electrical engineering and computer science from the Massachusetts Institute of Technology, Cambridge, in 1998 and 2003, respectively. She is currently a professor in the Electrical Engineering and Computer Science Department at the Massachusetts Institute of Technology. She is also the director of the Laboratory for Information and Decision Systems. Her research expertise includes optimization theory, with emphasis on nonlinear programming and convex analysis, game theory, with applications in communication, social, and economic networks, distributed optimization and control, and network analysis with special emphasis on contagious processes, systemic risk and dynamic control. Professor Ozdaglar is the recipient of a Microsoft fellowship, the MIT Graduate Student Council Teaching award, the NSF Career award, the 2008 Donald P. Eckman award of the American Automatic Control Council, the Class of 1943 Career Development Chair, the inaugural Steven and Renee Innovation Fellowship, and the 2014 Spira teaching award. She served on the Board of Governors of the Control System Society in 2010 and was an associate editor for IEEE Transactions on Automatic Control. She is currently the area co-editor for a new area for the journal Operations Research, entitled "Games, Information and Networks. She is the co-author of the book entitled “Convex Analysis and Optimization” (Athena Scientific, 2003).

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