Hybrid deterministic-stochastic methods for data fitting
M. P. Friedlander, M. Schmidt. SIAM Journal on Scientific Computing, 34(3):A1380–A1405,
2012.
[abs]
[bib]
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.
@article{FriedlanderSchmidt2012,
author = {M. P. Friedlander and M. Schmidt},
title = {Hybrid deterministic-stochastic methods for data fitting},
journal = {SIAM J. Scientific Computing},
volume = {34},
number = {3},
pages = {A1380–A1405},
year = {2012}
}