Stochastic Composite Least-Squares Regression with convergence rate O(1/n)

Abstract: We consider the minimization of composite objective functions composed of the expectation of quadratic functions and an arbitrary convex function. We study the stochastic dual averaging algorithm with a constant step-size, showing that it leads to a convergence rate of O(1/n) without strong convexity assumptions. This thus extends earlier results on least-squares regression with the Euclidean geometry to (a) all convex regularizers and constraints, and (b) all geome-tries represented by a Bregman divergence. This is achieved by a new proof technique that relates stochastic and deterministic recursions.