Universität Augsburg
|
Professor Dr. D. Russell Luke
Universität Göttingen
spricht am
Donnerstag, 12. Januar 2023
um
17:15 Uhr
im
TUM, Boltzmann-3, Garching, Raum 03.08.011, Etage 3
über das Thema:
Abstract: |
We present a Markov-chain analysis of blockwise-stochastic algorithms for solving partially block-separable optimization problems. Our main contributions to the extensive literature on these methods are statements about the Markov operators and distributions behind the iterates of stochastic algorithms, and in particular the regularity of Markov operators and rates of convergence of the distributions of the corresponding Markov chains. This provides a detailed characterization of the moments of the sequences beyond just the expected behavior. This also serves as a case study of how randomization restores favorable properties to algorithms that iterations of only partial information destroys. We demonstrate this on stochastic blockwise implementations of the forward-backward and Douglas- Rachford algorithms for nonconvex (and, as a special case, convex), nonsmooth optimization. |
Hierzu ergeht herzliche Einladung. |