Jin, Bangti; Kereta, Željko; (2023) On the Convergence of Stochastic Gradient Descent for Linear Inverse Problems in Banach Spaces. SIAM Journal on Imaging Sciences , 16 (2) pp. 671-705. 10.1137/22m1518542.

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Abstract

In this work we consider stochastic gradient descent (SGD) for solving linear inverse problems in Banach spaces. SGD and its variants have been established as one of the most successful optimization methods in machine learning, imaging, and signal processing, to name a few. At each iteration SGD uses a single datum, or a small subset of data, resulting in highly scalable methods that are very attractive for large-scale inverse problems. Nonetheless, the theoretical analysis of SGD-based approaches for inverse problems has thus far been largely limited to Euclidean and Hilbert spaces. In this work we present a novel convergence analysis of SGD for linear inverse problems in general Banach spaces: we show the almost sure convergence of the iterates to the minimum norm solution and establish the regularizing property for suitable a priori stopping criteria. Numerical results are also presented to illustrate features of the approach.

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