Snake: A Stochastic Proximal Gradient Algorithm for Regularized Problems Over Large Graphs

DOI10.1109/TAC.2019.2890888MaRDI QIDQ5223690zbMATH OpenWikidataFDO

Authors Adil Salim, Pascal Bianchi, W. Hachem

Publication date 18 July 2019

Published in IEEE Transactions on Automatic Control (Search for Journal in Brave)

Full work available at URL https://arxiv.org/abs/1712.07027

Mathematics Subject Classification ID

Convex programming (90C25) Programming involving graphs or networks (90C35) Graph algorithms (graph-theoretic aspects) (05C85)

Abstract: A regularized optimization problem over a large unstructured graph is studied, where the regularization term is tied to the graph geometry. Typical regularization examples include the total variation and the Laplacian regularizations over the graph. When applying the proximal gradient algorithm to solve this problem, there exist quite affordable methods to implement the proximity operator (backward step) in the special case where the graph is a simple path without loops. In this paper, an algorithm, referred to as "Snake", is proposed to solve such regularized problems over general graphs, by taking benefit of these fast methods. The algorithm consists in properly selecting random simple paths in the graph and performing the proximal gradient algorithm over these simple paths. This algorithm is an instance of a new general stochastic proximal gradient algorithm, whose convergence is proven. Applications to trend filtering and graph inpainting are provided among others. Numerical experiments are conducted over large graphs.

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Cited in

(5)

• Sub-linear convergence of a stochastic proximal iteration method in Hilbert space
• Dualize, split, randomize: toward fast nonsmooth optimization algorithms
• New nonasymptotic convergence rates of stochastic proximal point algorithm for stochastic convex optimization
• Sublinear convergence of a tamed stochastic gradient descent method in Hilbert space
• Stochastic proximal splitting algorithm for composite minimization

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