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For general convex cases (non-smooth, inexact regularisers), we cannot use the current implementation of FISTA combined with stochastic estimators. For strongly convex objective we can run FISTA+SVRG but we need another choice of momentum.
As suggested by @epapoutsellis, we could change the update step in APGD to
Where momentum is like a step_size_method or callback and has access to the whole algorithm class.
To get FISTA you would set the step size method to 1/L and choose the momentum based on nesterov. A constant momentum would also be useful.
The text was updated successfully, but these errors were encountered:
Description
For general convex cases (non-smooth, inexact regularisers), we cannot use the current implementation of FISTA combined with stochastic estimators. For strongly convex objective we can run FISTA+SVRG but we need another choice of momentum.
As suggested by @epapoutsellis, we could change the update step in APGD to
Where momentum is like a step_size_method or callback and has access to the whole algorithm class.
To get FISTA you would set the step size method to 1/L and choose the momentum based on nesterov. A constant momentum would also be useful.
The text was updated successfully, but these errors were encountered: