RSG: Beating Subgradient Method without Smoothness and Strong Convexity
In this paper, we study the efficiency of a {\bf R}estarted {\bf S}ub{\bf G}radient (RSG) method that periodically restarts the standard subgradient method (SG). We show that, when applied to a broad class of convex optimization problems, RSG method can find an $\epsilon$-optimal solution with a low complexity than SG method. In particular, we first … Read more