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An optimal algorithm for stochastic strongly-convex optimization

Optimization and Control 2010-06-15 v1
Authors: Elad Hazan , Satyen Kale
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Abstract

We consider stochastic convex optimization with a strongly convex (but not necessarily smooth) objective. We give an algorithm which performs only gradient updates with optimal rate of convergence.

Keywords

stochastic optimization convex optimization proximal optimization

Cite

@article{arxiv.1006.2425,
  title  = {An optimal algorithm for stochastic strongly-convex optimization},
  author = {Elad Hazan and Satyen Kale},
  journal= {arXiv preprint arXiv:1006.2425},
  year   = {2010}
}

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