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Incrementally Updated Gradient Methods for Constrained and Regularized Optimization

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  • Paul Tseng

    (University of Washington)

  • Sangwoon Yun

    (Sungkyunkwan University)

Abstract

We consider incrementally updated gradient methods for minimizing the sum of smooth functions and a convex function. This method can use a (sufficiently small) constant stepsize or, more practically, an adaptive stepsize that is decreased whenever sufficient progress is not made. We show that if the gradients of the smooth functions are Lipschitz continuous on the space of n-dimensional real column vectors or the gradients of the smooth functions are bounded and Lipschitz continuous over a certain level set and the convex function is Lipschitz continuous on its domain, then every cluster point of the iterates generated by the method is a stationary point. If in addition a local Lipschitz error bound assumption holds, then the method is linearly convergent.

Suggested Citation

  • Paul Tseng & Sangwoon Yun, 2014. "Incrementally Updated Gradient Methods for Constrained and Regularized Optimization," Journal of Optimization Theory and Applications, Springer, vol. 160(3), pages 832-853, March.
    • Handle: RePEc:spr:joptap:v:160:y:2014:i:3:d:10.1007_s10957-013-0409-2
    DOI: 10.1007/s10957-013-0409-2
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    References listed on IDEAS

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    1. P. Tseng & S. Yun, 2009. "Block-Coordinate Gradient Descent Method for Linearly Constrained Nonsmooth Separable Optimization," Journal of Optimization Theory and Applications, Springer, vol. 140(3), pages 513-535, March.
    2. Friedman, Jerome H. & Hastie, Trevor & Tibshirani, Rob, 2010. "Regularization Paths for Generalized Linear Models via Coordinate Descent," Journal of Statistical Software, Foundation for Open Access Statistics, vol. 33(i01).
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    Cited by:

    1. Paul Armand & Ngoc Nguyen Tran, 2021. "Local Convergence Analysis of a Primal–Dual Method for Bound-Constrained Optimization Without SOSC," Journal of Optimization Theory and Applications, Springer, vol. 189(1), pages 96-116, April.
    2. Sangho Kum & Sangwoon Yun, 2017. "Incremental Gradient Method for Karcher Mean on Symmetric Cones," Journal of Optimization Theory and Applications, Springer, vol. 172(1), pages 141-155, January.

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