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A Unified Convergence Analysis of Stochastic Bregman Proximal Gradient and Extragradient Methods

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Abstract

We consider a mini-batch stochastic Bregman proximal gradient method and a mini-batch stochastic Bregman proximal extragradient method for stochastic convex composite optimization problems. A simplified and unified convergence analysis framework is proposed to obtain almost sure convergence properties and expected convergence rates of the mini-batch stochastic Bregman proximal gradient method and its variants. This framework can also be used to analyze the convergence of the mini-batch stochastic Bregman proximal extragradient method, which has seldom been discussed in the literature. We point out that the standard uniformly bounded variance assumption and the usual Lipschitz gradient continuity assumption are not required in the analysis.

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Acknowledgements

The author would like to thank the referees and the associate editor for their helpful comments and suggestions. This work was partially supported by the National Natural Science Foundation of China (No. 11871135) and the Fundamental Research Funds for the Central Universities (No. DUT19K46).

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  1. School of Mathematical Sciences, Dalian University of Technology, Dalian, 116023, China

    Xiantao Xiao

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Correspondence to Xiantao Xiao.

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Communicated by Alfredo N. Iusem.

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Xiao, X. A Unified Convergence Analysis of Stochastic Bregman Proximal Gradient and Extragradient Methods. J Optim Theory Appl 188, 605–627 (2021). https://doi.org/10.1007/s10957-020-01799-3

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  • DOI: https://doi.org/10.1007/s10957-020-01799-3

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