On variance reduction for stochastic smooth convex optimization with multiplicative noise

DOI10.1007/s10107-018-1297-xzbMath1411.65082arXiv1705.02969MaRDI QIDQ1739038

Xianqiang Yang

Publication date: 24 April 2019

Published in: Mathematical Programming. Series A. Series B (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1705.02969

zbMATH Keywords

complexity; stochastic approximation; acceleration; variance reduction; multiplicative noise; smooth convex optimization; composite optimization; dynamic sampling

Mathematics Subject Classification ID

65K05: Numerical mathematical programming methods

90C25: Convex programming

90C15: Stochastic programming

62L20: Stochastic approximation

65Y20: Complexity and performance of numerical algorithms

Uses Software

• Saga