Invited Talk: Incremental Methods for Additive Cost Convex Optimization

Motivated by machine learning problems over large data sets and distributed optimization over networks, we consider the problem of minimizing the sum of a large number of convex component functions. We study incremental gradient methods for solving such problems, which use information about a single component function at each iteration. We provide new convergence rate results under some assumptions. We also consider incremental aggregated gradient methods, which compute a single component function gradient at each iteration while using outdated gradients of all component functions to approximate the entire global cost function, and provide new linear rate results.

Asuman Ozdaglar