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May, 2017
快速随机方差减少 ADMM 算法的随机组合优化
Fast Stochastic Variance Reduced ADMM for Stochastic Composition Optimization
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Yue Yu, Longbo Huang
TL;DR
针对随机分布式优化问题,提出ADMM算法,收敛速率为O(1/logS),并在实验中表现良好。
Abstract
In this paper, we consider the
stochastic composition optimization
problem proposed in \cite{wang2017stochastic}, which has applications ranging from
estimation
to statistical and machine learning. We propose the
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