A simpler approach to obtaining an O(1/t) convergence rate for projected stochastic subgradient descent

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Authors Simon Lacoste-Julien, Mark W. Schmidt, Francis R. Bach
Journal/Conference Name ARXIV: LEARNING
Paper Category
Paper Abstract In this note, we present a new averaging technique for the projected stochastic subgradient method. By using a weighted average with a weight of t+1 for each iterate w_t at iteration t, we obtain the convergence rate of O(1/t) with both an easy proof and an easy implementation. The new scheme is compared empirically to existing techniques, with similar performance behavior.
Date of publication 2012
Code Programming Language MATLAB/C

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