TY - GEN
T1 - Averaging random projection
T2 - 40th IEEE International Conference on Acoustics, Speech, and Signal Processing, ICASSP 2015
AU - Liu, Jialin
AU - Gu, Yuantao
AU - Wang, Mengdi
N1 - Publisher Copyright:
© 2015 IEEE.
PY - 2015/8/4
Y1 - 2015/8/4
N2 - Stochastic optimization finds wide application in signal processing, online learning, and network problems, especially problems processing large-scale data. We propose an Incremental Constraint Averaging Projection Method (ICAPM) that is tailored to optimization problems involving a large number of constraints. The ICAPM makes fast updates by taking sample gradients and averaging over random constraint projections. We provide a theoretical convergence and rate of convergence analysis for ICAPM. Our results suggests that averaging random projections significantly improves the stability of the solutions. For numerical tests, we apply the ICAPM to an online classification problem and a network consensus problem.
AB - Stochastic optimization finds wide application in signal processing, online learning, and network problems, especially problems processing large-scale data. We propose an Incremental Constraint Averaging Projection Method (ICAPM) that is tailored to optimization problems involving a large number of constraints. The ICAPM makes fast updates by taking sample gradients and averaging over random constraint projections. We provide a theoretical convergence and rate of convergence analysis for ICAPM. Our results suggests that averaging random projections significantly improves the stability of the solutions. For numerical tests, we apply the ICAPM to an online classification problem and a network consensus problem.
KW - Incremental Constraint Projection Method
KW - Large Scale Optimization
KW - Random Projection Method
KW - Stochastic Optimization
UR - http://www.scopus.com/inward/record.url?scp=84946040806&partnerID=8YFLogxK
UR - http://www.scopus.com/inward/citedby.url?scp=84946040806&partnerID=8YFLogxK
U2 - 10.1109/ICASSP.2015.7178639
DO - 10.1109/ICASSP.2015.7178639
M3 - Conference contribution
AN - SCOPUS:84946040806
T3 - ICASSP, IEEE International Conference on Acoustics, Speech and Signal Processing - Proceedings
SP - 3586
EP - 3590
BT - 2015 IEEE International Conference on Acoustics, Speech, and Signal Processing, ICASSP 2015 - Proceedings
PB - Institute of Electrical and Electronics Engineers Inc.
Y2 - 19 April 2014 through 24 April 2014
ER -