Dualize, Split, Randomize: Fast Nonsmooth Optimization Algorithms

3 Apr 2020Adil SalimLaurent CondatKonstantin MishchenkoPeter Richtárik

We introduce new primal-dual algorithms to minimize the sum of three convex functions, each having its own oracle. Namely, the first one is differentiable, smooth and possibly stochastic, the second is proximable, and the last one is a composition of a proximable function with a linear map... (read more)

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