Unifying mirror descent and dual averaging

Anatoli Juditsky; Joon Kwon; Éric Moulines

doi:10.1007/s10107-022-01850-3

Unifying mirror descent and dual averaging

Anatoli Juditsky
, Joon Kwon
, Éric Moulines

Résultats de recherche: Contribution à un journal › Article › Revue par des pairs

Résumé

We introduce and analyze a new family of first-order optimization algorithms which generalizes and unifies both mirror descent and dual averaging. Within the framework of this family, we define new algorithms for constrained optimization that combines the advantages of mirror descent and dual averaging. Our preliminary simulation study shows that these new algorithms significantly outperform available methods in some situations.

langue originale	Anglais
Pages (de - à)	793-830
Nombre de pages	38
journal	Mathematical Programming
Volume	199
Numéro de publication	1-2
Les DOIs	https://doi.org/10.1007/s10107-022-01850-3
état	Publié - 1 mai 2023

Accès au document

10.1007/s10107-022-01850-3

Autres fichiers et liens

Lien vers la publication dans Scopus

Contient cette citation

@article{08a2d4ec151649af9c9b3b557ee261ed,

title = "Unifying mirror descent and dual averaging",

abstract = "We introduce and analyze a new family of first-order optimization algorithms which generalizes and unifies both mirror descent and dual averaging. Within the framework of this family, we define new algorithms for constrained optimization that combines the advantages of mirror descent and dual averaging. Our preliminary simulation study shows that these new algorithms significantly outperform available methods in some situations.",

author = "Anatoli Juditsky and Joon Kwon and {\'E}ric Moulines",

note = "Publisher Copyright: {\textcopyright} 2022, Springer-Verlag GmbH Germany, part of Springer Nature and Mathematical Optimization Society.",

year = "2023",

month = may,

day = "1",

doi = "10.1007/s10107-022-01850-3",

language = "English",

volume = "199",

pages = "793--830",

journal = "Mathematical Programming",

issn = "0025-5610",

number = "1-2",

}

TY - JOUR

T1 - Unifying mirror descent and dual averaging

AU - Juditsky, Anatoli

AU - Kwon, Joon

AU - Moulines, Éric

PY - 2023/5/1

Y1 - 2023/5/1

N2 - We introduce and analyze a new family of first-order optimization algorithms which generalizes and unifies both mirror descent and dual averaging. Within the framework of this family, we define new algorithms for constrained optimization that combines the advantages of mirror descent and dual averaging. Our preliminary simulation study shows that these new algorithms significantly outperform available methods in some situations.

AB - We introduce and analyze a new family of first-order optimization algorithms which generalizes and unifies both mirror descent and dual averaging. Within the framework of this family, we define new algorithms for constrained optimization that combines the advantages of mirror descent and dual averaging. Our preliminary simulation study shows that these new algorithms significantly outperform available methods in some situations.

UR - https://www.scopus.com/pages/publications/85133167017

U2 - 10.1007/s10107-022-01850-3

DO - 10.1007/s10107-022-01850-3

M3 - Article

AN - SCOPUS:85133167017

SN - 0025-5610

VL - 199

SP - 793

EP - 830

JO - Mathematical Programming

JF - Mathematical Programming

IS - 1-2

ER -

Unifying mirror descent and dual averaging

Résumé

Accès au document

Autres fichiers et liens

Empreinte digitale

Contient cette citation