Zhihan

Lipschitz-free Projected Subgradient Method with Time-varying Step-size

  • Yong Xia
  • Yanhao Zhang
  • Zhihan
    • Categories Convex and Nonsmooth Optimization, Convex Optimization, Nonsmooth Optimization Tags , ,

    We introduce a novel time-varying step-size for the classical projected subgradient method, offering optimal ergodic convergence. Importantly, this approach does not depend on the Lipschitz assumption of the objective function, thereby broadening the convergence result of projected subgradient method to non-Lipschitz case. ArticleDownload View PDF

    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 , , ,

    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. ArticleDownload View PDF