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Tijana Ostojic

Publications and source records attributed to Tijana Ostojic.

2 recordsLinked to original sources
arXiv2022

An inexact restoration-nonsmooth algorithm with variable accuracy for stochastic nonsmooth convex optimization problems in machine learning and stochastic linear complementarity problems

We study unconstrained optimization problems with nonsmooth and convex objective function in the form of a mathematical expectation. The proposed method approximates the expected objective function with a sample average function using Inexact Restoration-based adapted sample sizes. The sample size is chosen in an adaptive manner based on Inexact Restoration. The algorithm uses line search and assumes descent directions with respect to the current approximate function. We prove the a.s. convergence under standard assumptions. Numerical results for two types of problems, machine learning loss function for training classifiers and stochastic linear complementarity problems, prove the efficiency of the proposed scheme.

math.OC↗
arXiv2022

Spectral Projected Subgradient Method for Nonsmooth Convex Optimization Problems

We consider constrained optimization problems with a nonsmooth objective function in the form of mathematical expectation. The Sample Average Approximation (SAA) is used to estimate the objective function and variable sample size strategy is employed. The proposed algorithm combines an SAA subgradient with the spectral coefficient in order to provide a suitable direction which improves the performance of the first order method as shown by numerical results. The step sizes are chosen from the predefined interval and the almost sure convergence of the method is proved under the standard assumptions in stochastic environment. To enhance the performance of the proposed algorithm, we further specify the choice of the step size by introducing an Armijo-like procedure adapted to this framework. Considering the computational cost on machine learning problems, we conclude that the line search improves the performance significantly. Numerical experiments conducted on finite sums problems also reveal that the variable sample strategy outperforms the full sample approach.

math.OC↗