Stochastic model-based minimization of weakly convex functions

17 Mar 2018 Damek Davis Dmitriy Drusvyatskiy

We consider a family of algorithms that successively sample and minimize simple stochastic models of the objective function. We show that under reasonable conditions on approximation quality and regularity of the models, any such algorithm drives a natural stationarity measure to zero at the rate $O(k^{-1/4})$... (read more)

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