Stochastic primal dual fixed point method for composite optimization

Abstract: In this paper we propose a stochastic primal dual fixed point method (SPDFP) for solving the sum of two proper lower semi-continuous convex function and one of which is composite. The method is based on the primal dual fixed point method (PDFP) proposed in [7] that does not require subproblem solving. Under some mild condition, the convergence is established based on two sets of assumptions: bounded and unbounded gradients and the convergence rate of the expected error of iterate is of the order O(k^{\alpha}) where k is iteration number and \alpha \in (0, 1]. Finally, numerical examples on graphic Lasso and logistic regressions are given to demonstrate the effectiveness of the proposed algorithm.