An optimal method for stochastic composite optimization

@article{Lan2012AnOM,
  title={An optimal method for stochastic composite optimization},
  author={G. Lan},
  journal={Mathematical Programming},
  year={2012},
  volume={133},
  pages={365-397}
}
  • G. Lan
  • Published 2012
  • Mathematics, Computer Science
  • Mathematical Programming
  • This paper considers an important class of convex programming (CP) problems, namely, the stochastic composite optimization (SCO), whose objective function is given by the summation of general nonsmooth and smooth stochastic components. Since SCO covers non-smooth, smooth and stochastic CP as certain special cases, a valid lower bound on the rate of convergence for solving these problems is known from the classic complexity theory of convex programming. Note however that the optimization… CONTINUE READING
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