Sub-linear convergence of a stochastic proximal iteration method in Hilbert space

Monika Eisenmann (), Tony Stillfjord () and Måns Williamson ()
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Monika Eisenmann: Lund University
Tony Stillfjord: Lund University
Måns Williamson: Lund University

Computational Optimization and Applications, 2022, vol. 83, issue 1, No 6, 210 pages

Abstract: Abstract We consider a stochastic version of the proximal point algorithm for convex optimization problems posed on a Hilbert space. A typical application of this is supervised learning. While the method is not new, it has not been extensively analyzed in this form. Indeed, most related results are confined to the finite-dimensional setting, where error bounds could depend on the dimension of the space. On the other hand, the few existing results in the infinite-dimensional setting only prove very weak types of convergence, owing to weak assumptions on the problem. In particular, there are no results that show strong convergence with a rate. In this article, we bridge these two worlds by assuming more regularity of the optimization problem, which allows us to prove convergence with an (optimal) sub-linear rate also in an infinite-dimensional setting. In particular, we assume that the objective function is the expected value of a family of convex differentiable functions. While we require that the full objective function is strongly convex, we do not assume that its constituent parts are so. Further, we require that the gradient satisfies a weak local Lipschitz continuity property, where the Lipschitz constant may grow polynomially given certain guarantees on the variance and higher moments near the minimum. We illustrate these results by discretizing a concrete infinite-dimensional classification problem with varying degrees of accuracy.

Keywords: Stochastic proximal point; Convergence analysis; Convergence rate; Infinite-dimensional; Hilbert space; 46N10; 65K10; 90C15 (search for similar items in EconPapers)
Date: 2022
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DOI: 10.1007/s10589-022-00380-0

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