Stochastic Accelerated Alternating Direction Method of Multipliers with Importance Sampling

被引：4

作者：

Chen, Chenxi ^{[1
]}

Chen, Yunmei ^{[1
]}

Ouyang, Yuyuan ^{[2
]}

Pasiliao, Eduardo ^{[3
]}

机构：

[1] Univ Florida, Dept Math, Gainesville, FL 32611 USA

[2] Clemson Univ, Dept Math Sci, Clemson, SC USA

[3] Air Force Res Lab, Munit Directorate, AFB, Eglin, FL USA

来源：

JOURNAL OF OPTIMIZATION THEORY AND APPLICATIONS | 2018年 / 179卷 / 02期

基金：

美国国家科学基金会;

关键词：

Stochastic ADMM; Duality gap; Variance estimation; Importance sampling; 90C06; 90C25; 90C30; OPTIMIZATION;

D O I：

10.1007/s10957-018-1270-0

中图分类号：

C93 [管理学]; O22 [运筹学];

学科分类号：

070105 ; 12 ; 1201 ; 1202 ; 120202 ;

摘要：

In this paper, we incorporate importance sampling strategy into accelerated framework of stochastic alternating direction method of multipliers for solving a class of stochastic composite problems with linear equality constraint. The rates of convergence for primal residual and feasibility violation are established. Moreover, the estimation of variance of stochastic gradient is improved due to the use of important sampling. The proposed algorithm is capable of dealing with the situation, where the feasible set is unbounded. The experimental results indicate the effectiveness of the proposed method.

引用

页码：676 / 695

页数：20

共 50 条

[1] Stochastic Accelerated Alternating Direction Method of Multipliers with Importance Sampling
Chenxi Chen
Yunmei Chen
Yuyuan Ouyang
Eduardo Pasiliao
Journal of Optimization Theory and Applications, 2018, 179 : 676 - 695
[2] Accelerated Alternating Direction Method of Multipliers
Kadkhodaie, Mojtaba
Christakopoulou, Konstantina
Sanjabi, Maziar
Banerjee, Arindam
KDD'15: PROCEEDINGS OF THE 21ST ACM SIGKDD INTERNATIONAL CONFERENCE ON KNOWLEDGE DISCOVERY AND DATA MINING, 2015, : 497 - 506
[3] An Accelerated Linearized Alternating Direction Method of Multipliers
Ouyang, Yuyuan
Chen, Yunmei
Lan, Guanghui
Pasiliao, Eduardo, Jr.
SIAM JOURNAL ON IMAGING SCIENCES, 2015, 8 (01): : 644 - 681
[4] Fast Stochastic Alternating Direction Method of Multipliers
Zhong, Leon Wenliang
Kwok, James T.
INTERNATIONAL CONFERENCE ON MACHINE LEARNING, VOL 32 (CYCLE 1), 2014, 32
[5] Adaptive Stochastic Alternating Direction Method of Multipliers
Zhao, Peilin
Yang, Jinwei
Zhang, Tong
Li, Ping
INTERNATIONAL CONFERENCE ON MACHINE LEARNING, VOL 37, 2015, 37 : 69 - 77
[6] Towards an optimal stochastic alternating direction method of multipliers
Azadi, Samaneh
Sra, Suvrit
INTERNATIONAL CONFERENCE ON MACHINE LEARNING, VOL 32 (CYCLE 1), 2014, 32
[7] STOCHASTIC ALTERNATING DIRECTION METHOD OF MULTIPLIERS FOR STRUCTURED REGULARIZATION
Suzuki, Taiji
JOURNAL JAPANESE SOCIETY OF COMPUTATIONAL STATISTICS, 2015, 28 (01): : 105 - 124
[8] Stochastic Dual Coordinate Ascent with Alternating Direction Method of Multipliers
Suzuki, Taiji
INTERNATIONAL CONFERENCE ON MACHINE LEARNING, VOL 32 (CYCLE 1), 2014, 32
[9] Faster Stochastic Alternating Direction Method of Multipliers for Nonconvex Optimization
Huang, Feihu
Chen, Songcan
Huang, Heng
INTERNATIONAL CONFERENCE ON MACHINE LEARNING, VOL 97, 2019, 97
[10] Stochastic Accelerated Alternating Direction Method of Multipliers for Hedging Communication Noise in Combined Heat and Power Dispatch
Li, Zhigang
Liang, Xinyu
Hu, Fan
Xiong, Wen
Wu, Renbo
Zheng, J. H.
Wu, Q. H.
CSEE JOURNAL OF POWER AND ENERGY SYSTEMS, 2023, 9 (02): : 696 - 706

← 1 2 3 4 5 →