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math.OC2018★ 15 cited
Provably Correct Automatic Subdifferentiation for Qualified Programs
Sham Kakade, Jason D. Lee
The Cheap Gradient Principle (Griewank 2008) --- the computational cost of computing the gradient of a scalar-valued function is nearly the same (often within a factor of ) as t…
math.OC2018
Stochastic subgradient method converges on tame functions
Damek Davis, Dmitriy Drusvyatskiy, Sham Kakade +1
This work considers the question: what convergence guarantees does the stochastic subgradient method have in the absence of smoothness and convexity? We prove that the stochastic s…