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Projection-based dual averaging for stochastic sparse optimization

We present a variant of the regularized dual averaging (RDA) algorithm for stochastic sparse optimization. Our approach differs from the previous studies of RDA in two respects. First, a sparsity-promoting metric is employed, originated from the proportionate-type adaptive filtering algorithms. Second, the squared-distance function to a closed convex set is employed as a part of the objective functions. In the particular application of online regression, the squared-distance function is reduced to a normalized version of the typical squared-error (least square) function. The two differences yield a better sparsity-seeking capability, leading to improved convergence properties. Numerical examples show the advantages of the proposed algorithm over the existing methods including ADAGRAD and adaptive proximal forward-backward splitting (APFBS).