Accelerated randomized mirror descent algorithms for composite non-strongly convex optimization
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Abstract: We consider the problem of minimizing the sum of an average function of a large number of smooth convex components and a general, possibly non-differentiable, convex function. Although many methods have been proposed to solve this problem with the assumption that the sum is strongly convex, few methods support the non-strongly convex case. Adding a small quadratic regularization is a common devise used to tackle non-strongly convex problems; however, it may cause loss of sparsity of solutions or weaken the performance of the algorithms. Avoiding this devise, we propose an accelerated randomized mirror descent method for solving this problem without the strongly convex assumption. Our method extends the deterministic accelerated proximal gradient methods of Paul Tseng and can be applied even when proximal points are computed inexactly. We also propose a scheme for solving the problem when the component functions are non-smooth.
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Cites work
- scientific article; zbMATH DE number 3850830 (Why is no real title available?)
- scientific article; zbMATH DE number 4079168 (Why is no real title available?)
- scientific article; zbMATH DE number 3296905 (Why is no real title available?)
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Cited in
(10)- Stochastic incremental mirror descent algorithms with Nesterov smoothing
- Analysis of Online Composite Mirror Descent Algorithm
- An accelerated stochastic mirror descent method
- An aggressive reduction on the complexity of optimization for non-strongly convex objectives
- Accelerated inexact composite gradient methods for nonconvex spectral optimization problems
- An inexact primal-dual smoothing framework for large-scale non-bilinear saddle point problems
- A weighted mirror descent algorithm for nonsmooth convex optimization problem
- Accelerated proximal incremental algorithm schemes for non-strongly convex functions
- A stochastic variance reduction algorithm with Bregman distances for structured composite problems
- A randomized mirror-prox method for solving structured large-scale matrix saddle-point problems
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