An Inexact Variable Metric Proximal Point Algorithm for Generic Quasi-Newton Acceleration

4 Oct 2016Hongzhou LinJulien MairalZaid Harchaoui

We propose an inexact variable-metric proximal point algorithm to accelerate gradient-based optimization algorithms. The proposed scheme, called QNing can be notably applied to incremental first-order methods such as the stochastic variance-reduced gradient descent algorithm (SVRG) and other randomized incremental optimization algorithms... (read more)

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