Mathematical Optimization for Data Science Group, Saarland University

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Tikhonov Regularization for Stochastic Non-Smooth Convex Optimization in Hilbert Spaces

R. Maulen-Soto, J. Fadili and H. Attouch

Abstract:
To solve non-smooth convex optimization problems with a noisy gradient input, we analyze the global behavior of subgradient-like flows under stochastic errors. The objective function is composite, being equal to the sum of two convex functions, one being differentiable and the other potentially non-smooth. We then use stochastic differential inclusions where the drift term is minus the subgradient of the objective function, and the diffusion term is either bounded or square-integrable. In this context, under Lipschitz's continuity of the differentiable term and a growth condition of the non-smooth term, our first main result shows almost sure weak convergence of the trajectory process towards a minimizer of the objective function. Then, using Tikhonov regularization with a properly tuned vanishing parameter, we can obtain almost sure strong convergence of the trajectory towards the minimum norm solution. We find an explicit tuning of this parameter when our objective function satisfies a local error-bound inequality. We also provide a comprehensive complexity analysis by establishing several new pointwise and ergodic convergence rates in expectation for the convex and strongly convex case.



pdf	Bibtex	arXiv

Latest update: 11.03.2024

Citation:
R. Maulen-Soto, J. Fadili, H. Attouch:
Tikhonov Regularization for Stochastic Non-Smooth Convex Optimization in Hilbert Spaces.

Technical Report, ArXiv e-prints, arXiv:2403.06708, 2024.

Bibtex:
@techreport{MFA24, title = {Tikhonov Regularization for Stochastic Non-Smooth Convex Optimization in Hilbert Spaces}, author = {R. Maulen-Soto and J. Fadili and H. Attouch}, year = {2024}, journal = {ArXiv e-prints, arXiv:2403.06708}, }

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