Hybrid Deterministic-Stochastic Methods for Data Fitting
By: Researcher II
Disclaimer: The provided code links for this paper are external links. Science Nest has no responsibility for the accuracy, legality or content of these links. Also, by downloading this code(s), you agree to comply with the terms of use as set out by the author(s) of the code(s).
Please contact us in case of a broken link from here
| Authors | Michael P. Friedlander, Mark W. Schmidt |
| Journal/Conference Name | SIAM Journal on Scientific Computing |
| Paper Category | Computer Science |
| Paper Abstract | Many structured data-fitting applications require the solution of an optimization problem involving a sum over a potentially large number of measurements. Incremental gradient algorithms offer inexpensive iterations by sampling a subset of the terms in the sum; these methods can make great progress initially, but often slow as they approach a solution. In contrast, full-gradient methods achieve steady convergence at the expense of evaluating the full objective and gradient on each iteration. We explore hybrid methods that exhibit the benefits of both approaches. Rate-of-convergence analysis shows that by controlling the sample size in an incremental-gradient algorithm, it is possible to maintain the steady convergence rates of full-gradient methods. We detail a practical quasi-Newton implementation based on this approach. Numerical experiments illustrate its potential benefits. |
| Date of publication | 2012 |
| Code Programming Language | MATLAB |
| Comment |
Copyright Researcher II 2021