DocumentCode :
1678426
Title :
Adaptive step size selection for optimization via the ski rental problem
Author :
Aghazadeh, Amirali ; Ayremlou, Ali ; Calderon, Daniel D. ; Goldstein, Tom ; Patel, Rahul ; Vats, Divyanshu ; Baraniuk, R.G.
Author_Institution :
Electr. & Comput. Eng., Rice Univ., Houston, TX, USA
fYear :
2013
Firstpage :
5383
Lastpage :
5387
Abstract :
Optimization has been used extensively throughout signal processing in applications including sensor networks and sparsity based compressive sensing. One of the key challenges when implementing iterative optimization algorithms is to choose an appropriate step size for fast algorithms. We pose the problem of choosing step sizes as solving a ski rental problem, a popular class of problems from the computer science literature. This results in a novel algorithm for adaptive step size selection that is agnostic to the choice of the optimization algorithm. Our numerical results show the advantages of using adaptivity for step size selection.
Keywords :
iterative methods; optimisation; adaptive step size selection; iterative optimization algorithms; sensor networks; signal processing; ski rental problem; sparsity based compressive sensing; Convergence; Educational institutions; Iterative methods; Minimization; Optimization; Phasor measurement units; Signal processing algorithms; sensor networks; ski rental problem; sparsity; step size using adaptivity;
fLanguage :
English
Publisher :
ieee
Conference_Titel :
Acoustics, Speech and Signal Processing (ICASSP), 2013 IEEE International Conference on
Conference_Location :
Vancouver, BC
ISSN :
1520-6149
Type :
conf
DOI :
10.1109/ICASSP.2013.6638691
Filename :
6638691
Link To Document :
بازگشت