Fast-and-Light Stochastic ADMM

@inproceedings{Zheng2016FastandLightSA,
  title={Fast-and-Light Stochastic ADMM},
  author={Shuai Zheng and James T. Kwok},
  booktitle={IJCAI},
  year={2016}
}
The alternating direction method of multipliers (ADMM) is a powerful optimization solver in machine learning. Recently, stochastic ADMM has been integrated with variance reduction methods for stochastic gradient, leading to SAG-ADMM and SDCA-ADMM that have fast convergence rates and low iteration complexities. However, their space requirements can still be high. In this paper, we propose an integration of ADMM with the method of stochastic variance reduced gradient (SVRG). Unlike another recent… CONTINUE READING
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