prox-linear algorithm

Stochastic Variance-Reduced Prox-Linear Algorithms for Nonconvex Composite Optimization

  • Lin Xiao
  • Junyu Zhang
    • Categories Nonlinear Optimization, Stochastic Programming Tags , , ,

    We consider the problem of minimizing composite functions of the form $f(g(x))+h(x)$, where~$f$ and~$h$ are convex functions (which can be nonsmooth) and $g$ is a smooth vector mapping. In addition, we assume that $g$ is the average of finite number of component mappings or the expectation over a family of random component mappings. We propose … Read more

    Stochastic Variance-Reduced Prox-Linear Algorithms for Nonconvex Composite Optimization

  • Lin Xiao
  • Junyu Zhang
    • Categories Nonlinear Optimization, Nonsmooth Optimization, Stochastic Programming Tags , , , ,

    We consider minimization of composite functions of the form $f(g(x))+h(x)$, where $f$ and $h$ are convex functions (which can be nonsmooth) and $g$ is a smooth vector mapping. In addition, we assume that $g$ is the average of finite number of component mappings or the expectation over a family of random component mappings. We propose … Read more