A simpler approach to obtaining an O(1/t) convergence rate for the projected stochastic subgradient method

12/10/2012

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by   Simon Lacoste-Julien, et al.

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In this note, we present a new averaging technique for the projected stochastic subgradient method. By using a weighted average with a weight of t+1 for each iterate w_t at iteration t, we obtain the convergence rate of O(1/t) with both an easy proof and an easy implementation. The new scheme is compared empirically to existing techniques, with similar performance behavior.