A simple proximal stochastic gradient method for nonsmooth nonconvex optimization

• Main Authors: LI, Zhize, LI, Jian
• Format: text
• Language: English
• Published: Institutional Knowledge at Singapore Management University 2018
• Subjects: Databases and Information Systems
• Online Access: https://ink.library.smu.edu.sg/sis_research/8674; https://ink.library.smu.edu.sg/context/sis_research/article/9677/viewcontent/NeurIPS_2018_a_simple_proximal_stochastic_gradient_method_for_nonsmooth_nonconvex_optimization_Paper.pdf
• Institution: Singapore Management University

We analyze stochastic gradient algorithms for optimizing nonconvex, nonsmooth finite-sum problems. In particular, the objective function is given by the summation of a differentiable (possibly nonconvex) component, together with a possibly non-differentiable but convex component. We propose a proxim...