%0 Journal Article %1 Nazin2019 %A Nazin, A. V. %A Nemirovsky, A. S. %A Tsybakov, A. B. %A Juditsky, A. B. %D 2019 %J Automation and Remote Control %K optimization robustness %N 9 %P 1607--1627 %R 10.1134/S0005117919090042 %T Algorithms of Robust Stochastic Optimization Based on Mirror Descent Method %U https://doi.org/10.1134/S0005117919090042 %V 80 %X We propose an approach to the construction of robust non-Euclidean iterative algorithms by convex composite stochastic optimization based on truncation of stochastic gradients. For such algorithms, we establish sub-Gaussian confidence bounds under weak assumptions about the tails of the noise distribution in convex and strongly convex settings. Robust estimates of the accuracy of general stochastic algorithms are also proposed.

@article{Nazin2019, abstract = {We propose an approach to the construction of robust non-Euclidean iterative algorithms by convex composite stochastic optimization based on truncation of stochastic gradients. For such algorithms, we establish sub-Gaussian confidence bounds under weak assumptions about the tails of the noise distribution in convex and strongly convex settings. Robust estimates of the accuracy of general stochastic algorithms are also proposed.}, added-at = {2020-02-23T02:45:34.000+0100}, author = {Nazin, A. V. and Nemirovsky, A. S. and Tsybakov, A. B. and Juditsky, A. B.}, biburl = {https://www.bibsonomy.org/bibtex/275381b6873131675d9a2f930e0af6d36/kirk86}, day = 01, description = {Algorithms of Robust Stochastic Optimization Based on Mirror Descent Method | SpringerLink}, doi = {10.1134/S0005117919090042}, interhash = {0269163495be31a80dc5f19d3c4c385c}, intrahash = {75381b6873131675d9a2f930e0af6d36}, issn = {1608-3032}, journal = {Automation and Remote Control}, keywords = {optimization robustness}, month = sep, number = 9, pages = {1607--1627}, timestamp = {2020-02-23T02:45:34.000+0100}, title = {Algorithms of Robust Stochastic Optimization Based on Mirror Descent Method}, url = {https://doi.org/10.1134/S0005117919090042}, volume = 80, year = 2019 }