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Stochastic Primal Dual Coordinate Method with Non-Uniform Sampling Based on Optimality Violations

Abstract · Mar 21, 2017 05:08 ·

stat-ml cs-lg math-oc

Arxiv Abstract

  • Atsushi Shibagaki
  • Ichiro Takeuchi

We study primal-dual type stochastic optimization algorithms with non-uniform sampling. Our main theoretical contribution in this paper is to present a convergence analysis of Stochastic Primal Dual Coordinate (SPDC) Method with arbitrary sampling. Based on this theoretical framework, we propose Optimality Violation-based Sampling SPDC (ovsSPDC), a non-uniform sampling method based on Optimality Violation. We also propose two efficient heuristic variants of ovsSPDC called ovsSDPC+ and ovsSDPC++. Through intensive numerical experiments, we demonstrate that the proposed method and its variants are faster than other state-of-the-art primal-dual type stochastic optimization methods.

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