TY - GEN
T1 - A Constant Step Stochastic Douglas-Rachford Algorithm with Application to non Separable Regularizations
AU - Salim, Adil
AU - Bianchi, Pascal
AU - Hachem, Walid
N1 - Publisher Copyright:
© 2018 IEEE.
PY - 2018/9/10
Y1 - 2018/9/10
N2 - The Douglas Rachford algorithm is an algorithm that converges to a minimizer of a sum of two convex functions. The algorithm consists in fixed point iterations involving computations of the proximity operators of the two functions separately. The paper investigates a stochastic version of the algorithm where both functions are random and the step size is constant. We establish that the iterates of the algorithm stay close to the set of solution with high probability when the step size is small enough. Application to structured regularization is considered.
AB - The Douglas Rachford algorithm is an algorithm that converges to a minimizer of a sum of two convex functions. The algorithm consists in fixed point iterations involving computations of the proximity operators of the two functions separately. The paper investigates a stochastic version of the algorithm where both functions are random and the step size is constant. We establish that the iterates of the algorithm stay close to the set of solution with high probability when the step size is small enough. Application to structured regularization is considered.
KW - Douglas Rachford algorithm
KW - Proximal methods
KW - Stochastic optimization
KW - Structured regularizations
UR - https://www.scopus.com/pages/publications/85054252196
U2 - 10.1109/ICASSP.2018.8461469
DO - 10.1109/ICASSP.2018.8461469
M3 - Conference contribution
AN - SCOPUS:85054252196
SN - 9781538646588
T3 - ICASSP, IEEE International Conference on Acoustics, Speech and Signal Processing - Proceedings
SP - 2886
EP - 2890
BT - 2018 IEEE International Conference on Acoustics, Speech, and Signal Processing, ICASSP 2018 - Proceedings
PB - Institute of Electrical and Electronics Engineers Inc.
T2 - 2018 IEEE International Conference on Acoustics, Speech, and Signal Processing, ICASSP 2018
Y2 - 15 April 2018 through 20 April 2018
ER -