Fast Stochastic Composite Minimization and an Accelerated Frank-Wolfe Algorithm under Parallelization. (arXiv:2205.12751v1 [math.OC])

We consider the problem of minimizing the sum of two convex functions. One of
those functions has Lipschitz-continuous gradients, and can be accessed via
stochastic oracles, whereas the other is "simple". We provide a Bregman-type
algorithm with accelerated convergence in function values to a ball containing
the minimum. The radius of this ball depends on problem-dependent constants,
including the variance of the stochastic oracle. We further show that this
algorithmic setup naturally leads to a variant of Frank-Wolfe achieving
acceleration …

algorithm arxiv math parallelization stochastic