CSpace
Inexact proximal stochastic gradient method for convex composite optimization
Wang, Xiao1; Wang, Shuxiong2; Zhang, Hongchao3
2017-12-01
Source PublicationCOMPUTATIONAL OPTIMIZATION AND APPLICATIONS
ISSN0926-6003
Volume68Issue:3Pages:579-618
AbstractWe study an inexact proximal stochastic gradient (IPSG) method for convex composite optimization, whose objective function is a summation of an average of a large number of smooth convex functions and a convex, but possibly nonsmooth, function. Variance reduction techniques are incorporated in the method to reduce the stochastic gradient variance. The main feature of this IPSG algorithm is to allow solving the proximal subproblems inexactly while still keeping the global convergence with desirable complexity bounds. Different subproblem stopping criteria are proposed. Global convergence and the component gradient complexity bounds are derived for the both cases when the objective function is strongly convex or just generally convex. Preliminary numerical experiment shows the overall efficiency of the IPSG algorithm.
KeywordConvex composite optimization Empirical risk minimization Stochastic gradient Inexact methods Global convergence Complexity bound
DOI10.1007/s10589-017-9932-7
Language英语
Funding ProjectNational Natural Science Foundation of China[11301505] ; National Science Foundation of USA[1522654]
WOS Research AreaOperations Research & Management Science ; Mathematics
WOS SubjectOperations Research & Management Science ; Mathematics, Applied
WOS IDWOS:000415213800005
PublisherSPRINGER
Citation statistics
Document Type期刊论文
Identifierhttp://ir.amss.ac.cn/handle/2S8OKBNM/26875
Collection中国科学院数学与系统科学研究院
Corresponding AuthorWang, Xiao
Affiliation1.Univ Chinese Acad Sci, Sch Math Sci, 19A Yuquan Rd, Beijing 100049, Peoples R China
2.Chinese Acad Sci, Inst Computat Math & Sci Engn Comp, Acad Math & Syst Sci, Beijing 100190, Peoples R China
3.Louisiana State Univ, Dept Math, 220 Lockett Hall, Baton Rouge, LA 70803 USA
Recommended Citation
GB/T 7714
Wang, Xiao,Wang, Shuxiong,Zhang, Hongchao. Inexact proximal stochastic gradient method for convex composite optimization[J]. COMPUTATIONAL OPTIMIZATION AND APPLICATIONS,2017,68(3):579-618.
APA Wang, Xiao,Wang, Shuxiong,&Zhang, Hongchao.(2017).Inexact proximal stochastic gradient method for convex composite optimization.COMPUTATIONAL OPTIMIZATION AND APPLICATIONS,68(3),579-618.
MLA Wang, Xiao,et al."Inexact proximal stochastic gradient method for convex composite optimization".COMPUTATIONAL OPTIMIZATION AND APPLICATIONS 68.3(2017):579-618.
Files in This Item:
There are no files associated with this item.
Related Services
Recommend this item
Bookmark
Usage statistics
Export to Endnote
Google Scholar
Similar articles in Google Scholar
[Wang, Xiao]'s Articles
[Wang, Shuxiong]'s Articles
[Zhang, Hongchao]'s Articles
Baidu academic
Similar articles in Baidu academic
[Wang, Xiao]'s Articles
[Wang, Shuxiong]'s Articles
[Zhang, Hongchao]'s Articles
Bing Scholar
Similar articles in Bing Scholar
[Wang, Xiao]'s Articles
[Wang, Shuxiong]'s Articles
[Zhang, Hongchao]'s Articles
Terms of Use
No data!
Social Bookmark/Share
All comments (0)
No comment.
 

Items in the repository are protected by copyright, with all rights reserved, unless otherwise indicated.