ISyE Distinguished Seminar: Stephen Wright
"Inexact Fixed-Point Iterations for Min-Max Problems"
Stephen Wright
The George B. Dantzig Professor of Computer Sciences, Sheldon Lubar Chair of Computer Sciences, and Hilldale Professor
University of Wisconsin-Madison
About the Seminar:
We consider constrained, L-smooth, nonconvex-nonconcave min-max problems either satisfying rho-cohypomonotonicity or admitting a solution to the rho-weakly Minty Variational Inequality (MVI), where larger values of the parameter rho>0 correspond to a greater degree of nonconvexity. Relevant problem classes include two player
reinforcement learning and interaction-dominant min-max problems. We proposed inexact variants of Halpern and Krasnoselskii-Mann (KM) iterations and show that they can tolerate more nonconvexity than previously proved. We also provide stochastic alg rithms which can tolerate the same amount of nonconvexity. Complexity results are proved in both cases. (Our improvements come from harnessing the recently proposed "conic nonexpansiveness" property of operators.) Finally, we provide a refined analysis for inexact Halpern iteration and propose a stochastic KM iteration with a multilevel Monte Carlo estimator. This talk represents joint work with Ahmet Alacaoglu and Donghwan Kim.
About the Speaker:
Stephen J. Wright is the George B. Dantzig Professor of Computer Sciences, Sheldon Lubar Chair of Computer Sciences, and Hilldale Professor at the University of Wisconsin-Madison. He recently served a term as Chair of the Computer Sciences Department. His research is in computational optimization and its applications to data science and many other areas of science and engineering.
Prior to joining UW-Madison in 2001, Wright held positions at North Carolina State University (1986-1990) and Argonne National Laboratory (1990-2001). He has served as Chair of the Mathematical Optimization Society (MOS) from 2007-2010 and was elected to the Board of Trustees of SIAM for the maximum three terms, from 2005-2014. He was elected to the National Academy of Engineering in 2024. In the same year, he received the George B. Dantzig Prize, awarded jointly by MOS and SIAM, for "original research having a major impact on mathematical optimization." He has been invited to give a plenary lecture at ICM 2026. In 2020, he was awarded the Khachiyan Prize by the INFORMS Optimization Society for "lifetime achievements in the area of optimization," and also received the NeurIPS Test of Time Award. He became a Fellow of SIAM in 2011. In 2014, he won the W.R.G. Baker Award from IEEE for best paper in an IEEE archival publication during 2009-2011.
Wright is the author / coauthor of widely used text and reference books in optimization including "Primal Dual Interior-Point Methods" and "Numerical Optimization." He has published broadly on optimization theory, algorithms, software, and applications.
Wright served from 2014-2019 as Editor-in-Chief of the SIAM Journal on Optimization and previously served as Editor-in-Chief of Mathematical Programming Series B. He has also served as Associate Editor of Mathematical Programming Series A, SIAM Review, SIAM Journal on Scientific Computing, and several other journals and book series.
Collaborative Colloquia with Stephen Wright:
ISyE, CS&E, and DSI
Monday, 10/20 - CS&E CRAY Colloquium
Optimization in Theory and Practice
Tuesday, 10/21 - CSE DSI Distinguished Seminar
Optimization in Data Science
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