Projection-based dual averaging for stochastic sparse optimization

Asahi Ushio; Masahiro Yukawa

ICASSP 2017accepted0 citations

Projection-based dual averaging for stochastic sparse optimization

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).

BibTeX

@inproceedings{icassp2017_projectionbasedd,
  title = {Projection-based dual averaging for stochastic sparse optimization},
  author = {Asahi Ushio and Masahiro Yukawa},
  booktitle = {ICASSP 2017},
  year = {2017}
}