Part of Advances in Neural Information Processing Systems 25 (NIPS 2012)

*Xi Chen, Qihang Lin, Javier Pena*

This paper considers a wide spectrum of regularized stochastic optimization problems where both the loss function and regularizer can be non-smooth. We develop a novel algorithm based on the regularized dual averaging (RDA) method, that can simultaneously achieve the optimal convergence rates for both convex and strongly convex loss. In particular, for strongly convex loss, it achieves the optimal rate of $O(\frac{1}{N}+\frac{1}{N^2})$ for $N$ iterations, which improves the best known rate $O(\frac{\log N }{N})$ of previous stochastic dual averaging algorithms. In addition, our method constructs the final solution directly from the proximal mapping instead of averaging of all previous iterates. For widely used sparsity-inducing regularizers (e.g., $\ell_1$-norm), it has the advantage of encouraging sparser solutions. We further develop a multi-stage extension using the proposed algorithm as a subroutine, which achieves the uniformly-optimal rate $O(\frac{1}{N}+\exp\{-N\})$ for strongly convex loss.

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