2020

Momentum-based variance-reduced proximal stochastic gradient method for composite nonconvex stochastic optimization

Xu, Yangyang, Xu, Yibo

Understand

Stochastic gradient methods (SGMs) have been extensively used for solving stochastic problems or large-scale machine learning problems.

  • Recent works employ various techniques to improve the convergence rate of SGMs for both convex and nonconvex cases.
  • Most of them require a large number of samples in some or all iterations of the improved SGMs.
  • In this paper, we propose a new SGM, named PStorm, for solving nonconvex nonsmooth stochastic problems.

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