Randomization and sparsity in huge-scale optimization on the Mirror Descent example

Anton Anikin; Alexander Gasnikov; Alexander Gornov

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arXiv · 1602.00594

Randomization and sparsity in huge-scale optimization on the Mirror Descent example

Anton Anikin·Alexander Gasnikov·Alexander Gornov

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Abstract

We investigate different randomizations for mirror descent method. We try to propose such a randomization that allows us to use sparsity of the problem as much as it possible. In the paper one can also find a generalization of randomizaed mirror descent for the convex optimization problems with functional restrictions.

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Anton Anikin, Alexander Gasnikov, Alexander Gornov. 2016-02-01. Randomization and sparsity in huge-scale optimization on the Mirror Descent example. https://arxiv.org/abs/1602.00594

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