We propose a new stochastic gradient method for optimizing the sum of a finite set of smooth functions, where the sum is strongly convex. While standard stochastic gradient methods converge at sublinear rates for this problem, the proposed method incorporates a memory of previous gradient values in order to achieve a linear convergence rate. Numerical experiments indicate that the new algorithm can dramatically outperform standard algorithms.
Citation
Technical Report HAL 00674995, 2012