On Stochastic Subgradient Mirror-Descent Algorithm with Weighted Averaging
On Stochastic Subgradient Mirror-Descent Algorithm with Weighted Averaging
This paper considers stochastic subgradient mirror-descent method for solving constrained convex minimization problems. In particular, a stochastic subgradient mirror-descent method with weighted iterate-averaging is investigated and its per-iterate convergence rate is analyzed. The novel part of the approach is in the choice of weights that are used to construct the …