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arXiv · 1802.02988

Stochastic subgradient method converges at the rate $O(k^{-1/4})$ on weakly convex functions

Damek Davis·Dmitriy Drusvyatskiy
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Abstract

We prove that the proximal stochastic subgradient method, applied to a weakly convex problem, drives the gradient of the Moreau envelope to zero at the rate $O(k^{-1/4})$. As a consequence, we resolve an open question on the convergence rate of the proximal stochastic gradient method for minimizing the sum of a smooth nonconvex function and a convex proximable function.

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Damek Davis, Dmitriy Drusvyatskiy. 2018-02-08. Stochastic subgradient method converges at the rate $O(k^{-1/4})$ on weakly convex functions. https://arxiv.org/abs/1802.02988

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