Stochastic Optimization for DC Functions and Non-smooth Non-convex Regularizers with Non-asymptotic Convergence

Yi Xu, Qi Qi, Qihang Lin, Rong Jin, Tianbao Yang

Abstract: Difference of convex (DC) functions cover a broad family of non-convex and possibly non-smooth and non-differentiable functions, and have wide applications in machine learning and statistics. Altho...