adaptive stepsize

Stochastic Gauss-Newton Algorithms for Online PCA

  • Siyun Zhou
  • Xin Liu
  • Liwei Xu
    • Categories Stochastic Programming Tags , , ,

    In this paper, we propose a stochastic Gauss-Newton (SGN) algorithm to study the online principal component analysis (OPCA) problem, which is formulated by using the symmetric low-rank product (SLRP) model for dominant eigenspace calculation. Compared with existing OPCA solvers, SGN is of improved robustness with respect to the varying input data and algorithm parameters. In … Read more

    Non-stationary Douglas-Rachford and alternating direction method of multipliers: adaptive stepsizes and convergence

  • Dirk A. Lorenz
  • Quoc Tran-Dinh
    • Categories Convex Optimization Tags , , , ,

    We revisit the classical Douglas-Rachford (DR) method for finding a zero of the sum of two maximal monotone operators. Since the practical performance of the DR method crucially depends on the stepsizes, we aim at developing an adaptive stepsize rule. To that end, we take a closer look at a linear case of the problem … Read more