Dual Averaging Power-Prox method provides the first convergence analysis for incremental gradients with heavy-tailed noise and shows asymptotically better rates than i.i.d. SGD.
Russell Luke.Proximal Methods for Image Processing, pages 165–202
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The Dual Averaging Power-Prox Method with Application to Heavy-Tail Incremental Gradient
Dual Averaging Power-Prox method provides the first convergence analysis for incremental gradients with heavy-tailed noise and shows asymptotically better rates than i.i.d. SGD.