UW Distinguished Seminar in Optimization & Data Seminar: Zhaosong Lu
Topic
Variance-reduced first-order methods for constrained stochastic and finite-sum optimization
Speakers
Details
We consider stochastic and finite-sum optimization problems with deterministic constraints. Existing methods typically focus on finding an approximate stochastic solution that ensures the expected constraint violations and optimality conditions meet a prescribed accuracy. However, such an approximate solution can potentially lead to significant constraint violations. To address this issue, we propose variance-reduced first-order methods that treat the objective and constraints differently. Under suitable assumptions, our proposed methods achieve stronger approximate stochastic solutions with complexity guarantees that more reliably satisfy the constraints compared to existing methods. This is joint work with Sanyou Mei (HKUST) and Yifeng Xiao (UMN).
Additional Information
Zhaosong Lu is a Full Professor in the Department of Industrial and Systems Engineering at the University of Minnesota. He received his Ph.D. in Operations Research from Georgia Institute of Technology. His research focuses on the theory and algorithms of continuous optimization, with applications in data science and machine learning. Dr. Lu has published extensively in leading journals, and his work has been supported by major funding agencies, including AFOSR, NSF, and ONR. He has served on several prize committees, such as the INFORMS George Nicholson Prize Committee and the ICCOPT Best Paper Award Committee. He has also served as an Associate Editor for leading journals, including Mathematics of Operations Research, SIAM Journal on Optimization, Computational Optimization and Applications, and Journal of Global Optimization.
This event is a part of the UW Distinguished Seminar in Optimization & Data Seminar.
This is an interdepartmental talks series at the University of Washington, focused on all aspects of optimization and data science. It is a new incarnation of the CORE seminar that ran from 2013-2020.
All talks are in the Gates Commons CSE1 691 at 3:30 pm unless specifically noted. Live Stream Link: https://www.youtube.com/@uwcse/streams
For the current seminar schedule please go to the Seminar website.