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

Publication series

NameICASSP, IEEE International Conference on Acoustics, Speech and Signal Processing - Proceedings
ISSN (Print)1520-6149

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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