Stochastic first order methods in smooth convex optimization
In this paper, we are interested in the development of efficient first-order methods for convex optimization problems in the simultaneous presence of smoothness of the objective function and stochasticity in the first-order information. First, we consider the Stochastic Primal Gradient method, which is nothing else but the Mirror Descent SA method applied to a smooth function and we develop new practical and efficient stepsizes policies. Based on the machinery of estimates sequences functions, we develop also two new methods, a Stochastic Dual Gradient Method and an accelerated Stochastic Fast Gradient Method. Convergence rates on average, probabilities of large deviations and accuracy certificates are studied. All of these methods are designed in order to decrease the effect of the stochastic noise at an unimprovable rate and to be easily implementable in practice (the practical efficiency of our method is confirmed by numerical experiments). Furthermore, the biased case, when the oracle is not only stochastic but also affected by a bias is considered for the first time in the literature.
|Date of creation:||31 Dec 2011|
|Date of revision:|
|Contact details of provider:|| Postal: |
Fax: +32 10474304
Web page: http://www.uclouvain.be/core
More information through EDIRC
Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile, click on "citations" and make appropriate adjustments.:
- David de la Croix & Axel Gosseries, 2011.
"The Natalist Bias of Pollution Control,"
Discussion Papers (IRES - Institut de Recherches Economiques et Sociales)
2011020, Université catholique de Louvain, Institut de Recherches Economiques et Sociales (IRES).
- repec:cup:cbooks:9780521715348 is not listed on IDEAS
- DEVOLDER, Olivier & GLINEUR, François & NESTEROV, Yurii, 2011. "First-order methods of smooth convex optimization with inexact oracle," CORE Discussion Papers 2011002, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE).
- repec:cup:cbooks:9780521887427 is not listed on IDEAS
- repec:cup:cbooks:9780521681599 is not listed on IDEAS
- Duranton, Gilles & Martin, Philippe & Mayer, Thierry & Mayneris, Florian, 2010. "The Economics of Clusters: Lessons from the French Experience," OUP Catalogue, Oxford University Press, number 9780199592203, March.
When requesting a correction, please mention this item's handle: RePEc:cor:louvco:2011070. See general information about how to correct material in RePEc.
For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (Alain GILLIS)
If references are entirely missing, you can add them using this form.