The alternating direction method of multipliers (ADMM) is a powerful optimization solver in machine learning. Recently, stochastic ADMM has been integrated with variance reduction methods for stochastic gradient, leading to SAG-ADMM and SDCA-ADMM that have fast convergence rates and low iteration complexities. However, their space requirements can still be high. In this paper, we propose an integration of ADMM with the method of stochastic variance reduced gradient (SVRG). Unlike another recent integration attempt called SCAS-ADMM, the proposed algorithm retains the fast convergence benefits of SAG-ADMM and SDCA-ADMM, but is more advantageous in that its storage requirement is very low, even independent of the sample size @math . Experimental results demonstrate that it is as fast as SAG-ADMM and SDCA-ADMM, much faster than SCAS-ADMM, and can be used on much bigger data sets.
With @math in ), solving ) can be computationally expensive when the data set is large. Recently, a number of stochastic and online variants of ADMM have been developed @cite_6 @cite_5 @cite_14 . However, they converge much slower than the batch ADMM, namely, @math vs @math for convex problems, and @math vs linear convergence for strongly convex problems.
@cite_5 @cite_14 @cite_6
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The Alternating Direction Method of Multipliers (ADMM) has received lots of attention recently due to the tremendous demand from large-scale and data-distributed machine learning applications. In this paper, we present a stochastic setting for optimization problems with non-smooth composite objective functions. To solve this problem, we propose a stochastic ADMM algorithm. Our algorithm applies to a more general class of convex and nonsmooth objective functions, beyond the smooth and separable least squares loss used in lasso. We also demonstrate the rates of convergence for our algorithm under various structural assumptions of the stochastic function: O(1 √t)) for convex functions and O(log t t) for strongly convex functions. Compared to previous literature, we establish the convergence rate of ADMM for convex problems in terms of both the objective value and the feasibility violation. A novel application named Graph-Guided SVM is proposed to demonstrate the usefulness of our algorithm. We develop new stochastic optimization methods that are applicable to a wide range of structured regularizations. Basically our methods are combinations of basic stochastic optimization techniques and Alternating Direction Multiplier Method (ADMM). ADMM is a general framework for optimizing a composite function, and has a wide range of applications. We propose two types of online variants of ADMM, which correspond to online proximal gradient descent and regularized dual averaging respectively. The proposed algorithms are computationally efficient and easy to implement. Our methods yield O(1 √T) convergence of the expected risk. Moreover, the online proximal gradient descent type method yields O(log(T) T) convergence for a strongly convex loss. Numerical experiments show effectiveness of our methods in learning tasks with structured sparsity such as overlapped group lasso. Online optimization has emerged as powerful tool in large scale optimization. In this paper, we introduce efficient online algorithms based on the alternating directions method (ADM). We introduce a new proof technique for ADM in the batch setting, which yields the O(1 T) convergence rate of ADM and forms the basis of regret analysis in the online setting. We consider two scenarios in the online setting, based on whether the solution needs to lie in the feasible set or not. In both settings, we establish regret bounds for both the objective function as well as constraint violation for general and strongly convex functions. Preliminary results are presented to illustrate the performance of the proposed algorithms.