Nonasymptotic convergence of stochastic proximal point algorithms for constrained convex optimization

zbMath1475.90048arXiv1706.06297MaRDI QIDQ4558525

Ion Necoara, Andrei T. Patrascu

Publication date: 22 November 2018

Full work available at URL: https://arxiv.org/abs/1706.06297

zbMATH Keywords

rates of convergence; stochastic proximal point; stochastic convex optimization; intersection of convex constraints; nonasymptotic convergence analysis

Mathematics Subject Classification ID

90C25: Convex programming

68T05: Learning and adaptive systems in artificial intelligence

90C15: Stochastic programming

Related Items

Stochastic block projection algorithms with extrapolation for convex feasibility problems, On the Convergence of Stochastic Primal-Dual Hybrid Gradient, Sublinear Convergence of a Tamed Stochastic Gradient Descent Method in Hilbert Space, New nonasymptotic convergence rates of stochastic proximal point algorithm for stochastic convex optimization, Faster Randomized Block Kaczmarz Algorithms, Stochastic (Approximate) Proximal Point Methods: Convergence, Optimality, and Adaptivity, Randomized Projection Methods for Convex Feasibility: Conditioning and Convergence Rates, Linear Convergence of Random Dual Coordinate Descent on Nonpolyhedral Convex Problems, Faster randomized block sparse Kaczmarz by averaging, Convergence properties of a randomized primal-dual algorithm with applications to parallel MRI, A fully stochastic primal-dual algorithm, General convergence analysis of stochastic first-order methods for composite optimization, Minibatch stochastic subgradient-based projection algorithms for feasibility problems with convex inequalities, Stochastic proximal splitting algorithm for composite minimization, Sub-linear convergence of a stochastic proximal iteration method in Hilbert space, Random minibatch subgradient algorithms for convex problems with functional constraints, Subgradient averaging for multi-agent optimisation with different constraint sets, On the computation of equilibria in monotone and potential stochastic hierarchical games

Uses Software

• SHOGUN
• HOGWILD
• Saga

Cites Work

• Unnamed Item
• Unnamed Item
• On the effectiveness of projection methods for convex feasibility problems with linear inequality constraints
• Random algorithms for convex minimization problems
• Incremental proximal methods for large scale convex optimization
• Introductory lectures on convex optimization. A basic course.
• A data-driven approach to robust control of multivariable systems by convex optimization
• Self-concordant analysis for logistic regression
• Random block coordinate descent methods for linearly constrained optimization over networks
• Stochastic Approximations and Perturbations in Forward-Backward Splitting for Monotone Operators
• Ergodic Convergence of a Stochastic Proximal Point Algorithm
• Sparse and stable Markowitz portfolios
• Robust Stochastic Approximation Approach to Stochastic Programming
• On the Convergence of the Proximal Point Algorithm for Convex Minimization
• Acceleration of Stochastic Approximation by Averaging
• Variational Analysis
• RES: Regularized Stochastic BFGS Algorithm
• Energy-based sensor network source localization via projection onto convex sets
• Global Convergence Rate of Proximal Incremental Aggregated Gradient Methods
• Optimization Methods for Large-Scale Machine Learning
• Regularized Iterative Stochastic Approximation Methods for Stochastic Variational Inequality Problems
• A First-Order Stochastic Primal-Dual Algorithm with Correction Step
• On perturbed proximal gradient algorithms
• Stochastic Dual Coordinate Ascent Methods for Regularized Loss Minimization