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Rest-Katyusha: Exploiting the Solution's Structure via Scheduled Restart Schemes
Junqi Tang · Mohammad Golbabaee · Francis Bach · Mike Davies

Wed Dec 05 07:45 AM -- 09:45 AM (PST) @ Room 210 #14

We propose a structure-adaptive variant of the state-of-the-art stochastic variance-reduced gradient algorithm Katyusha for regularized empirical risk minimization. The proposed method is able to exploit the intrinsic low-dimensional structure of the solution, such as sparsity or low rank which is enforced by a non-smooth regularization, to achieve even faster convergence rate. This provable algorithmic improvement is done by restarting the Katyusha algorithm according to restricted strong-convexity constants. We demonstrate the effectiveness of our approach via numerical experiments.

Author Information

Junqi Tang (University of Edinburgh)
Mohammad Golbabaee (University of Bath)
Francis Bach (INRIA - Ecole Normale Superieure)
Mike Davies (University of Edinburgh)

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