Projection-based dual averaging for stochastic sparse optimization

Asahi Ushio, Masahiro Yukawa

    Research output: Chapter in Book/Report/Conference proceedingConference contribution

    3 Citations (Scopus)

    Abstract

    We present a variant of the regularized dual averaging (RDA) algorithm for stochastic sparse optimization. Our approach differs from the previous studies of RDA in two respects. First, a sparsity-promoting metric is employed, originated from the proportionate-type adaptive filtering algorithms. Second, the squared-distance function to a closed convex set is employed as a part of the objective functions. In the particular application of online regression, the squared-distance function is reduced to a normalized version of the typical squared-error (least square) function. The two differences yield a better sparsity-seeking capability, leading to improved convergence properties. Numerical examples show the advantages of the proposed algorithm over the existing methods including ADAGRAD and adaptive proximal forward-backward splitting (APFBS).

    Original languageEnglish
    Title of host publication2017 IEEE International Conference on Acoustics, Speech, and Signal Processing, ICASSP 2017 - Proceedings
    PublisherInstitute of Electrical and Electronics Engineers Inc.
    Pages2307-2311
    Number of pages5
    ISBN (Electronic)9781509041176
    DOIs
    Publication statusPublished - 2017 Jun 16
    Event2017 IEEE International Conference on Acoustics, Speech, and Signal Processing, ICASSP 2017 - New Orleans, United States
    Duration: 2017 Mar 52017 Mar 9

    Other

    Other2017 IEEE International Conference on Acoustics, Speech, and Signal Processing, ICASSP 2017
    CountryUnited States
    CityNew Orleans
    Period17/3/517/3/9

    Keywords

    • online learning
    • orthogonal projection
    • proximity operator
    • sparse optimization
    • stochastic optimization

    ASJC Scopus subject areas

    • Software
    • Signal Processing
    • Electrical and Electronic Engineering

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  • Cite this

    Ushio, A., & Yukawa, M. (2017). Projection-based dual averaging for stochastic sparse optimization. In 2017 IEEE International Conference on Acoustics, Speech, and Signal Processing, ICASSP 2017 - Proceedings (pp. 2307-2311). [7952568] Institute of Electrical and Electronics Engineers Inc.. https://doi.org/10.1109/ICASSP.2017.7952568