Section: New Results

Stochastic Majorize-Minimize Subspace Algorithm

Participants: Emilie Chouzenoux and Jean-Christophe Pesquet

Stochastic optimization plays an important role in solving many problems encountered in machine learning or adaptive processing. In this context, the second-order statistics of the data are often unknown a priori or their direct computation is too intensive, and they have to be estimated on-line from the related signals. In the context of batch optimization of an objective function being the sum of a data fidelity term and a penalization (e.g. a sparsity promoting function), Majorize-Minimize (MM) subspace methods have recently attracted much interest since they are fast, highly flexible and effective in ensuring convergence. The goal of the work [8] is to show how these methods can be successfully extended to the case when the cost function is replaced by a sequence of stochastic approximations of it. Simulation results illustrate the good practical performance of the proposed MM Memory Gradient (3MG) algorithm when applied to 2D filter identification