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Jul, 2017
加速方差减少随机ADMM
Accelerated Variance Reduced Stochastic ADMM
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Yuanyuan Liu, Fanhua Shang, James Cheng
TL;DR
通过在随机抽样的ADMM方法中引入动量加速技巧,进一步提高了广义凸问题的收敛速度,从O(1/T)到O(1/T^2),并在强凸问题中获得了线性收敛速度。
Abstract
Recently, many variance reduced stochastic alternating direction method of multipliers (ADMM) methods (e.g.\ SAG-ADMM, SDCA-ADMM and SVRG-ADMM) have made exciting progress such as
linear convergence
rates for
strongly c
→