theorem
scaledObjective_convergence_rate_bound
{X : Type u}
{ι : Type u_1}
[Fintype ι]
(m : ι → ℕ)
(f : X → ℝ)
(xHat : X)
{fBar : ℝ}
{N : ℕ}
(hP : 0 < ∑ j : ι, ↑(m j))
(hbound :
↑(f xHat) - { feasibleSet := Set.univ, objective := f }.optimalValue ≤ 2 * ↑(∑ j : ι, ↑(m j)) * ↑fBar / ↑√(↑N * (↑N + 1)))
:
↑(averageIndividualExpense (∑ j : ι, ↑(m j)) f xHat) - { feasibleSet := Set.univ, objective := averageIndividualExpense (∑ j : ι, ↑(m j)) f }.optimalValue ≤ 2 * ↑fBar / ↑√(↑N * (↑N + 1))
Proposition 6.18: if P = \sum_j m_j is positive and an iterate xHat satisfies
f(xHat) - f* ≤ 2 P \bar f / √(N (N + 1)), then the scaled objective
\bar f(x) = f(x) / P satisfies
\bar f(xHat) - \bar f* ≤ 2 \bar f / √(N (N + 1)), with both optimal values taken through the
Chapter 1 whole-space owner in EReal.