A Markovian Incremental Stochastic Subgradient Algorithm

Autor(es)

Massambone, Rafael ; Costa, Eduardo Fontoura ; Helou, Elias Salomao

• Tipo de documento: Artigo Científico
• Fonte: IEEE Transactions on Automatic Control; v. 68, n. 1, p. 16-pg., 2023-01-01.

Resumo

In this article, a stochastic incremental subgradient algorithm for the minimization of a sum of convex functions is introduced. The method sequentially uses partial subgradient information, and the sequence of partial subgradients is determined by a general Markov chain. This makes it suitable to be used in networks, where the path of information flow is stochastically selected. We prove convergence of the algorithm to a weighted objective function, where the weights are given by the Cesaro limiting probability distribution of the Markov chain. Unlike previous works in the literature, the Cesaro limiting distribution is general (not necessarily uniform), allowing for general weighted objective functions and flexibility in the method. (AU)

• Processo FAPESP: 17/20934-9 - Filtragem e controle de sistemas com saltos nos parâmetros
• Beneficiário: Eduardo Fontoura Costa
• Modalidade de apoio: Auxílio à Pesquisa - Regular
• Processo FAPESP: 13/07375-0 - CeMEAI - Centro de Ciências Matemáticas Aplicadas à Indústria
• Beneficiário: Francisco Louzada Neto
• Modalidade de apoio: Auxílio à Pesquisa - Centros de Pesquisa, Inovação e Difusão - CEPIDs