Inexact proximal stochastic gradient method for convex composite optimization
文献类型：期刊论文
| 作者 | Wang, Xiao1; Wang, Shuxiong2; Zhang, Hongchao3 |
| 刊名 | COMPUTATIONAL OPTIMIZATION AND APPLICATIONS
 |
| 出版日期 | 2017-12-01 |
| 卷号 | 68期号:3页码:579-618 |
| ISSN号 | 0926-6003 |
| 关键词 | Convex composite optimization Empirical risk minimization Stochastic gradient Inexact methods Global convergence Complexity bound |
| DOI | 10.1007/s10589-017-9932-7 |
| 英文摘要 | We 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. |
| 资助项目 | National Natural Science Foundation of China[11301505] ; National Science Foundation of USA[1522654] |
| WOS研究方向 | Operations Research & Management Science ; Mathematics |
| 语种 | 英语 |
| 出版者 | SPRINGER |
| WOS记录号 | WOS:000415213800005 |
| 源URL | [http://ir.amss.ac.cn/handle/2S8OKBNM/26874]  |
| 专题 | 中国科学院数学与系统科学研究院 |
| 通讯作者 | Wang, Xiao |
| 作者单位 | 1.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 |
| 推荐引用方式 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. |
入库方式： OAI收割
来源：数学与系统科学研究院
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