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| Autori principali: | , , , |
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| Natura: | Preprint |
| Pubblicazione: |
2023
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| Soggetti: | |
| Accesso online: | https://arxiv.org/abs/2306.07379 |
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| _version_ | 1866908078217101312 |
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| author | Bellavia, Stefania Krejić, Nataša Jerinkić, Nataša Krklec Raydan, Marcos |
| author_facet | Bellavia, Stefania Krejić, Nataša Jerinkić, Nataša Krklec Raydan, Marcos |
| contents | The spectral gradient method is known to be a powerful low-cost tool for solving large-scale optimization problems. In this paper, our goal is to exploit its advantages in the stochastic optimization framework, especially in the case of mini-batch subsampling that is often used in big data settings. To allow the spectral coefficient to properly explore the underlying approximate Hessian spectrum, we keep the same subsample for several iterations before subsampling again. We analyze the required algorithmic features and the conditions for almost sure convergence, and present initial numerical results that show the advantages of the proposed method. |
| format | Preprint |
| id |
arxiv_https___arxiv_org_abs_2306_07379 |
| institution | arXiv |
| publishDate | 2023 |
| record_format | arxiv |
| spellingShingle | SLiSeS: Subsampled Line Search Spectral Gradient Method for Finite Sums Bellavia, Stefania Krejić, Nataša Jerinkić, Nataša Krklec Raydan, Marcos Optimization and Control The spectral gradient method is known to be a powerful low-cost tool for solving large-scale optimization problems. In this paper, our goal is to exploit its advantages in the stochastic optimization framework, especially in the case of mini-batch subsampling that is often used in big data settings. To allow the spectral coefficient to properly explore the underlying approximate Hessian spectrum, we keep the same subsample for several iterations before subsampling again. We analyze the required algorithmic features and the conditions for almost sure convergence, and present initial numerical results that show the advantages of the proposed method. |
| title | SLiSeS: Subsampled Line Search Spectral Gradient Method for Finite Sums |
| topic | Optimization and Control |
| url | https://arxiv.org/abs/2306.07379 |