Stochastic ISTA/FISTA Adaptive Step Search Algorithms for Convex Composite Optimization
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arXiv
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| Format: | Preprint |
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2024
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| _version_ | 1866913688869404672 |
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| author | Nguyen, Lam M. Scheinberg, Katya Tran, Trang H. |
| author_facet | Nguyen, Lam M. Scheinberg, Katya Tran, Trang H. |
| contents | We develop and analyze stochastic variants of ISTA and a full backtracking FISTA algorithms [Beck and Teboulle, 2009, Scheinberg et al., 2014] for composite optimization without the assumption that stochastic gradient is an unbiased estimator. This work extends analysis of inexact fixed step ISTA/FISTA in [Schmidt et al., 2011] to the case of stochastic gradient estimates and adaptive step-size parameter chosen by backtracking. It also extends the framework for analyzing stochastic line-search method in [Cartis and Scheinberg, 2018] to the proximal gradient framework as well as to the accelerated first order methods. |
| format | Preprint |
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arxiv_https___arxiv_org_abs_2402_15646 |
| institution | arXiv |
| publishDate | 2024 |
| record_format | arxiv |
| spellingShingle | Stochastic ISTA/FISTA Adaptive Step Search Algorithms for Convex Composite Optimization Nguyen, Lam M. Scheinberg, Katya Tran, Trang H. Optimization and Control We develop and analyze stochastic variants of ISTA and a full backtracking FISTA algorithms [Beck and Teboulle, 2009, Scheinberg et al., 2014] for composite optimization without the assumption that stochastic gradient is an unbiased estimator. This work extends analysis of inexact fixed step ISTA/FISTA in [Schmidt et al., 2011] to the case of stochastic gradient estimates and adaptive step-size parameter chosen by backtracking. It also extends the framework for analyzing stochastic line-search method in [Cartis and Scheinberg, 2018] to the proximal gradient framework as well as to the accelerated first order methods. |
| title | Stochastic ISTA/FISTA Adaptive Step Search Algorithms for Convex Composite Optimization |
| topic | Optimization and Control |
| url | https://arxiv.org/abs/2402.15646 |