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arXiv · 2103.08822

A Stochastic Variance Reduction Algorithm with Bregman Distances for Structured Composite Problems

Nguyen Van Dung·Băng Công Vũ
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Abstract

We develop a novel stochastic primal dual splitting method with Bregman distances for solving a structured composite problems involving infimal convolutions in non-Euclidean spaces. The sublinear convergence in expectation of the primal-dual gap is proved under mild conditions on stepsize for the general case. The linear convergence rate is obtained under additional condition like the strong convexity relative to Bregman functions.

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Nguyen Van Dung, Băng Công Vũ. 2021-03-16. A Stochastic Variance Reduction Algorithm with Bregman Distances for Structured Composite Problems. https://arxiv.org/abs/2103.08822

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