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- W2970271714 abstract "This paper provides a unifying theoretical framework for stochastic optimization algorithms by means of a latent stochastic variational problem. Using techniques from stochastic control, the solution to the variational problem is shown to be equivalent to that of a Forward Backward Stochastic Differential Equation (FBSDE). By solving these equations, we recover a variety of existing adaptive stochastic gradient descent methods. This framework establishes a direct connection between stochastic optimization algorithms and a secondary latent inference problem on gradients, where a prior measure on gradient observations determines the resulting algorithm." @default.
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- W2970271714 date "2019-05-05" @default.
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- W2970271714 title "A Latent Variational Framework for Stochastic Optimization" @default.
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