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Preprints, Working Papers, ... Year : 2012

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

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.

Dates and versions

hal-00768187 , version 1 (21-12-2012)

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Simon Lacoste-Julien, Mark Schmidt, Francis Bach. A simpler approach to obtaining an O(1/t) convergence rate for the projected stochastic subgradient method. 2012. ⟨hal-00768187⟩
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