Section: Software

Hybrid deterministic-stochastic methods for data fitting

Participant : Mark Schmidt [correspondant] .

Many structured data-fitting applications require the solution of an optimization problem involving a sum over a potentially large number of measurements. Incremental gradient algorithms (both deterministic and randomized) offer inexpensive iterations by sampling only subsets of the terms in the sum. These methods can make great progress initially, but often slow as they approach a solution. In contrast, full gradient methods achieve steady convergence at the expense of evaluating the full objective and gradient on each iteration. We explore hybrid methods that exhibit the benefits of both approaches. Rate of convergence analysis and numerical experiments illustrate the potential for the approach.

See also the web page http://www.cs.ubc.ca/~mpf/2011-hybrid-for-data-fitting.html .

• Version: 1

• Contact: mark.schmidt@inria.fr

• Participants outside of Sierra: Michael Friedlander (Scientific Computing Laboratory, Department of Computer Science, University of British Columbia)