Fast Incremental Method for Nonconvex Optimization

    arXiv: Optimization and Control, Volume abs/1603.06159, 2016.

    Cited by: 11|Bibtex|24|
    EI

    Abstract:

    We analyze a fast incremental aggregated gradient method for optimizing nonconvex problems of the form $min_x sum_i f_i(x)$. Specifically, we analyze the SAGA algorithm within an Incremental First-order Oracle framework, and show that it converges to a stationary point provably faster than both gradient descent and stochastic gradient des...More
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