An optimal method for stochastic composite optimization (Q431018): Difference between revisions
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The stochastic composite optimization problem under consideration consists in minimizing the sum \(f+h\) of two convex functions \(f,h\) defined on a compact convex set \(X\subset \mathbb{R}^{n}\), assuming that \(\nabla f\) and \(h\) are globally Lipschitz. The author proposes two subgradient-type methods, namely, a modified version of the mirror-descent SA method due to \textit{A. Nemirovski, A. Juditsky, G. Lan} and \textit{A. Shapiro} [SIAM J. Optim. 19, No. 4, 1574--1609 (2009; Zbl 1189.90109)], which substantially improves the rate of convergence, and an accelerated stochastic approximation method, which can achieve an optimal rate of convergence. He illustrates the advantages of the latter method over other existing methods by discussing its performance for a particular class of stochastic optimization problems. | |||
Property / review text: The stochastic composite optimization problem under consideration consists in minimizing the sum \(f+h\) of two convex functions \(f,h\) defined on a compact convex set \(X\subset \mathbb{R}^{n}\), assuming that \(\nabla f\) and \(h\) are globally Lipschitz. The author proposes two subgradient-type methods, namely, a modified version of the mirror-descent SA method due to \textit{A. Nemirovski, A. Juditsky, G. Lan} and \textit{A. Shapiro} [SIAM J. Optim. 19, No. 4, 1574--1609 (2009; Zbl 1189.90109)], which substantially improves the rate of convergence, and an accelerated stochastic approximation method, which can achieve an optimal rate of convergence. He illustrates the advantages of the latter method over other existing methods by discussing its performance for a particular class of stochastic optimization problems. / rank | |||
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Property / reviewed by | |||
Property / reviewed by: Juan-Enrique Martinez-Legaz / rank | |||
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Property / Mathematics Subject Classification ID: 90C15 / rank | |||
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Property / Mathematics Subject Classification ID | |||
Property / Mathematics Subject Classification ID: 90C25 / rank | |||
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Property / Mathematics Subject Classification ID | |||
Property / Mathematics Subject Classification ID: 62L20 / rank | |||
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Property / zbMATH DE Number: 6050450 / rank | |||
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Property / zbMATH Keywords | |||
stochastic optimization | |||
Property / zbMATH Keywords: stochastic optimization / rank | |||
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Property / zbMATH Keywords | |||
optimal method | |||
Property / zbMATH Keywords: optimal method / rank | |||
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convex optimization | |||
Property / zbMATH Keywords: convex optimization / rank | |||
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complexity theory | |||
Property / zbMATH Keywords: complexity theory / rank | |||
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stochastic approximation | |||
Property / zbMATH Keywords: stochastic approximation / rank | |||
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Revision as of 23:52, 29 June 2023
scientific article
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English | An optimal method for stochastic composite optimization |
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An optimal method for stochastic composite optimization (English)
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26 June 2012
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The stochastic composite optimization problem under consideration consists in minimizing the sum \(f+h\) of two convex functions \(f,h\) defined on a compact convex set \(X\subset \mathbb{R}^{n}\), assuming that \(\nabla f\) and \(h\) are globally Lipschitz. The author proposes two subgradient-type methods, namely, a modified version of the mirror-descent SA method due to \textit{A. Nemirovski, A. Juditsky, G. Lan} and \textit{A. Shapiro} [SIAM J. Optim. 19, No. 4, 1574--1609 (2009; Zbl 1189.90109)], which substantially improves the rate of convergence, and an accelerated stochastic approximation method, which can achieve an optimal rate of convergence. He illustrates the advantages of the latter method over other existing methods by discussing its performance for a particular class of stochastic optimization problems.
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stochastic optimization
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optimal method
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convex optimization
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complexity theory
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stochastic approximation
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