Convergence of the Iterates in Mirror Descent Methods
Thinh T. Doan, Subhonmesh Bose, Đình Hòa Nguyễn, Carolyn L. Beck · IEEE Control Systems Letters · 2018
We consider centralized and distributed mirror descent (MD) algorithms over a finite-dimensional Hilbert space, and prove that the problem variables converge to an optimizer of a possibly nonsmooth function when the step sizes are square summable but not summable. Prior literature has focused on the convergence of thefunction valueto its optimum. However, applications from distributed optimization and learning in games require the convergence of the variables to an optimizer, which is generally not guaranteed without assuming strong convexity of the objective function. We provide numerical simulations comparing entropic MD and standard subgradient methods for the robust regression problem.