Solving composite minimization problems arising in statistics and engineering, with applications to phase retrieval
Neyman Seminar
Apr 3, 2018, 04:00 PM - 05:00 PM | 60 Evans Hall | Happening As Scheduled
John C. Duchi, Stanford University
We consider minimization of stochastic functionals that are compositions of a (potentially) non-smooth convex function h and smooth function c. We develop two stochastic methods--a stochastic prox-linear algorithm and a stochastic (generalized) sub- gradient procedure--and prove that, under mild technical conditions, each converges to stationary points of the stochastic objective. Additionally,...