Accelerating variance-reduced stochastic gradient methods

DOI10.1007/S10107-020-01566-2zbMath1489.90113arXiv1910.09494OpenAlexW3084718985MaRDI QIDQ2118092

Matthias J. Ehrhardt, Derek Driggs, Carola-Bibiane Schönlieb

Publication date: 22 March 2022

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

Full work available at URL: https://arxiv.org/abs/1910.09494

zbMATH Keywords

stochastic optimisationvariance reductionconvex optimisationaccelerated gradient descent

Mathematics Subject Classification ID

Analysis of algorithms and problem complexity (68Q25) Convex programming (90C25) Large-scale problems in mathematical programming (90C06) Abstract computational complexity for mathematical programming problems (90C60) Stochastic programming (90C15)

Related Items (3)

An aggressive reduction on the complexity of optimization for non-strongly convex objectives ⋮ Nonconvex optimization with inertial proximal stochastic variance reduction gradient ⋮ An improvement of stochastic gradient descent approach for mean-variance portfolio optimization problem

Uses Software

• SARAH
• ProxSARAH
• SARGE
• Saga
• SpiderBoost

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• SpiderBoost

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