Seminar Details

Seminar Details


Apr 21

3:30 pm

A SMART Stochastic Algorithm for Nonconvex Optimization

Aleksandr (Sasha) Aravkin


University of Washington - Applied Math

We show how to transform any optimization problem that arises from fitting a machine learning model into one that (1) detects and removes contaminated data from the training set and (2) simultaneously fits the trimmed model on the remaining uncontaminated data. To solve the resulting nonconvex optimization problem, we introduce a fast stochastic proximal-gradient algorithm that incorporates prior knowledge through nonsmooth regularization.