Convergence Rate of Projected Subgradient Method with Time-varying Step-sizes

  • Zhihan
  • Yanhao Zhang
  • Yong Xia
    • Categories Convex and Nonsmooth Optimization, Convex Optimization, Nonsmooth Optimization Tags , , , Short URL: https://optimization-online.org/?p=25090

    We establish the optimal ergodic convergence rate for the classical projected subgradient method with time-varying step-sizes. This convergence rate remains the same even if we slightly increase the weight of the most recent points, thereby relaxing the ergodic sense.

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