Convergence Rate of Projected Subgradient Method with Time-varying Step-sizes
classification
🧮 math.OC
keywords
convergencerateergodicmethodprojectedsubgradienttime-varyingclassical
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We establish the optimal ergodic convergence rate for the classical projected subgradient method with a time-varying step-size. This convergence rate remains the same even if we slightly increase the weight of the most recent points, thereby relaxing the ergodic sense.
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