Add to Chrome
Add to Firefox
Add to EdgeDistributionally Time-Varying Online Stochastic Optimization under Polyak-Łojasiewicz Condition with Application in Conditional Value-at-Risk Statistical Learning
Sep 18, 2023
In this work, we consider a sequence of stochastic optimization problems following a time-varying distribution via the lens of online optimization. Assuming that the loss function satisfies the Polyak-{\L}ojasiewicz condition, we apply online stochastic gradient descent and establish its dynamic regret bound that is composed of cumulative distribution drifts and cumulative gradient biases caused by stochasticity. The distribution metric we adopt here is Wasserstein distance, which is well-defined without the absolute continuity assumption or with a time-varying support set. We also establish a regret bound of online stochastic proximal gradient descent when the objective function is regularized. Moreover, we show that the above framework can be applied to the Conditional Value-at-Risk (CVaR) learning problem. Particularly, we improve an existing proof on the discovery of the PL condition of the CVaR problem, resulting in a regret bound of online stochastic gradient descent.
Local Strong Convexity of Source Localization and Error Bound for Target Tracking under Time-of-Arrival Measurements
Dec 21, 2021
In this paper, we consider a time-varying optimization approach to the problem of tracking a moving target using noisy time-of-arrival (TOA) measurements. Specifically, we formulate the problem as that of sequential TOA-based source localization and apply online gradient descent (OGD) to it to generate the position estimates of the target. To analyze the tracking performance of OGD, we first revisit the classic least-squares formulation of the (static) TOA-based source localization problem and elucidate its estimation and geometric properties. In particular, under standard assumptions on the TOA measurement model, we establish a bound on the distance between an optimal solution to the least-squares formulation and the true target position. Using this bound, we show that the loss function in the formulation, albeit non-convex in general, is locally strongly convex at its global minima. To the best of our knowledge, these results are new and can be of independent interest. By combining them with existing techniques from online strongly convex optimization, we then establish the first non-trivial bound on the cumulative target tracking error of OGD. Our numerical results corroborate the theoretical findings and show that OGD can effectively track the target at different noise levels.
Learning Graphs from Smooth Signals under Moment Uncertainty
May 12, 2021
We consider the problem of inferring the graph structure from a given set of smooth graph signals. The number of perceived graph signals is always finite and possibly noisy, thus the statistical properties of the data distribution is ambiguous. Traditional graph learning models do not take this distributional uncertainty into account, thus performance may be sensitive to different sets of data. In this paper, we propose a distributionally robust approach to graph learning, which incorporates the first and second moment uncertainty into the smooth graph learning model. Specifically, we cast our graph learning model as a minimax optimization problem, and further reformulate it as a nonconvex minimization problem with linear constraints. In our proposed formulation, we find a theoretical interpretation of the Laplacian regularizer, which is adopted in many existing works in an intuitive manner. Although the first moment uncertainty leads to an annoying square root term in the objective function, we prove that it enjoys the smoothness property with probability 1 over the entire constraint. We develop a efficient projected gradient descent (PGD) method and establish its global iterate convergence to a critical point. We conduct extensive experiments on both synthetic and real data to verify the effectiveness of our model and the efficiency of the PGD algorithm. Compared with the state-of-the-art smooth graph learning methods, our approach exhibits superior and more robust performance across different populations of signals in terms of various evaluation metrics.