Complexity of finding near-stationary points of convex functions stochastically

Damek Davis; Dmitriy Drusvyatskiy

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arXiv · 1802.08556

Complexity of finding near-stationary points of convex functions stochastically

Damek Davis·Dmitriy Drusvyatskiy

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Abstract

In a recent paper, we showed that the stochastic subgradient method applied to a weakly convex problem, drives the gradient of the Moreau envelope to zero at the rate $O(k^{-1/4})$. In this supplementary note, we present a stochastic subgradient method for minimizing a convex function, with the improved rate $\widetilde O(k^{-1/2})$.

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Damek Davis, Dmitriy Drusvyatskiy. 2018-02-21. Complexity of finding near-stationary points of convex functions stochastically. https://arxiv.org/abs/1802.08556

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