Variance Reduction via Primal-Dual Accelerated Dual Averaging for Nonsmooth Convex Finite-Sums.
Chaobing SongStephen J. WrightJelena DiakonikolasPublished in: ICML (2021)
Keyphrases
- primal dual
- variance reduction
- convex functions
- convex optimization
- variational inequalities
- convex programming
- linear programming
- convex optimization problems
- linear program
- sample size
- interior point methods
- monte carlo
- infeasible interior point
- approximation algorithms
- linear programming problems
- duality gap
- algorithm for linear programming
- saddle point
- semidefinite programming
- convergence rate
- importance sampling
- convex sets
- dual formulation
- finite number
- confidence intervals
- special case
- objective function
- newton method
- inequality constraints
- augmented lagrangian
- upper bound
- model selection
- semidefinite
- random variables
- naive bayes classifier