Abstract:In this paper, we propose a stochastic Primal-Dual Hybrid Gradient (PDHG) approach for solving a wide spectrum of regularized stochastic minimization problems, where the regularization term is composite with a linear function. It has been recognized that solving this kind of problem is challenging since the closed-form solution of the proximal mapping associated with the regularization term is not available due to the imposed linear composition, and the per-iteration cost of computing the full gradient of the … Show more
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