Algorithms of Inertial Mirror Descent in Convex Problems of Stochastic Optimization

Alexander Nazin

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arXiv · 1705.01073

Algorithms of Inertial Mirror Descent in Convex Problems of Stochastic Optimization

Alexander Nazin

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Abstract

The goal is to modify the known method of mirror descent (MD), proposed by A.S. Nemirovsky and D.B. Yudin in 1979. The paper shows the idea of a new, so-called inertial MD method with the example of a deterministic optimization problem in continuous time. In particular, in the Euclidean case, the heavy ball method by B.T. Polyak is realized. It is noted that the new method does not use additional averaging. A discrete algorithm of inertial MD is described. The theorem on the upper bound on the error in the objective function is proved.

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Alexander Nazin. 2017-05-02. Algorithms of Inertial Mirror Descent in Convex Problems of Stochastic Optimization. https://arxiv.org/abs/1705.01073

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