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Register a new userStochastic Dual Coordinate Ascent with Alternating Direction Multiplier Method
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Taiji Suzuki
Publication date
2013
fields
Mathematical Statistics
and research's language is
English
Authors
Taiji Suzuki
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We propose a new stochastic dual coordinate ascent technique that can be applied to a wide range of regularized learning problems. Our method is based on Alternating Direction Multiplier Method (ADMM) to deal with complex regularization functions such as structured regularizations. Although the original ADMM is a batch method, the proposed method offers a stochastic update rule where each iteration requires only one or few sample observations. Moreover, our method can naturally afford mini-batch update and it gives speed up of convergence. We show that, under mild assumptions, our method converges exponentially. The numerical experiments show that our method actually performs efficiently.
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