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A Unified Convergence Analysis of Stochastic Bregman Proximal Gradient and Extragradient Methods

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  • Xiantao Xiao

    (Dalian University of Technology)

Abstract

We consider a mini-batch stochastic Bregman proximal gradient method and a mini-batch stochastic Bregman proximal extragradient method for stochastic convex composite optimization problems. A simplified and unified convergence analysis framework is proposed to obtain almost sure convergence properties and expected convergence rates of the mini-batch stochastic Bregman proximal gradient method and its variants. This framework can also be used to analyze the convergence of the mini-batch stochastic Bregman proximal extragradient method, which has seldom been discussed in the literature. We point out that the standard uniformly bounded variance assumption and the usual Lipschitz gradient continuity assumption are not required in the analysis.

Suggested Citation

  • Xiantao Xiao, 2021. "A Unified Convergence Analysis of Stochastic Bregman Proximal Gradient and Extragradient Methods," Journal of Optimization Theory and Applications, Springer, vol. 188(3), pages 605-627, March.
    • Handle: RePEc:spr:joptap:v:188:y:2021:i:3:d:10.1007_s10957-020-01799-3
    DOI: 10.1007/s10957-020-01799-3
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    References listed on IDEAS

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    1. Michael C. Fu, 2002. "Feature Article: Optimization for simulation: Theory vs. Practice," INFORMS Journal on Computing, INFORMS, vol. 14(3), pages 192-215, August.
    2. Heinz H. Bauschke & Jérôme Bolte & Marc Teboulle, 2017. "A Descent Lemma Beyond Lipschitz Gradient Continuity: First-Order Methods Revisited and Applications," Mathematics of Operations Research, INFORMS, vol. 42(2), pages 330-348, May.
    3. Aswin Kannan & Uday V. Shanbhag, 2019. "Optimal stochastic extragradient schemes for pseudomonotone stochastic variational inequality problems and their variants," Computational Optimization and Applications, Springer, vol. 74(3), pages 779-820, December.
    4. Trong Phong Nguyen & Edouard Pauwels & Emile Richard & Bruce W. Suter, 2018. "Extragradient Method in Optimization: Convergence and Complexity," Journal of Optimization Theory and Applications, Springer, vol. 176(1), pages 137-162, January.
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    Cited by:

    1. Gui-Hua Lin & Zhen-Ping Yang & Hai-An Yin & Jin Zhang, 2023. "A dual-based stochastic inexact algorithm for a class of stochastic nonsmooth convex composite problems," Computational Optimization and Applications, Springer, vol. 86(2), pages 669-710, November.

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