Stochastic Optimization from the perspective of dynamical systems

TitleStochastic Optimization from the perspective of dynamical systems
Publication TypePresentation
Year of Publication2017
AuthorsEmmanouil Daskalakis, Rachel Kuske, Mengmeng Yang, Felix J. Herrmann
KeywordsPresentation, SINBAD, SINBADFALL2017, SLIM

We present improvements to a family of methods (Linearized Bregman, Kaczmarz and Stochastic Gradient Descent) that are often use in optimization problems. We explain the link of those methods with dynamical systems and we draw ideas for improving their performance. We use a simple idea to improve the stability and the performance of our family of optimization methods especially for ill-posed, inconsistent large-scale problems. Finally we present an application at a least squares migration problem, which highlight the importance of the suggested improvements on large scale Geophysical problems.

Citation Keydaskalakis2017SINBADFsof