A Sparsity Preserving Stochastic Gradient Method for Composite Optimization

  title={A Sparsity Preserving Stochastic Gradient Method for Composite Optimization},
  author={Qihang Lin and Xi Chen and Javier Pe{\~n}a},
We propose new stochastic gradient algorithms for solving convex composite optimization problems. In each iteration, our algorithms utilize a stochastic oracle of the gradient of the smooth component in the objective function. Our algorithms are based on a stochastic version of the estimate sequence technique introduced by Nesterov (Introductory Lectures on Convex Optimization: A Basic Course, Kluwer, 2003). We establish convergence results for the expectation and variance as well as large… CONTINUE READING
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