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Register a new userRobust Learning Rate Selection for Stochastic Optimization via Splitting Diagnostic
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This paper proposes SplitSGD, a new dynamic learning rate schedule for stochastic optimization. This method decreases the learning rate for better adaptation to the local geometry of the objective function whenever a stationary phase is detected, that is, the iterates are likely to bounce at around a vicinity of a local minimum. The detection is performed by splitting the single thread into two and using the inner product of the gradients from the two threads as a measure of stationarity. Owing to this simple yet provably valid stationarity detection, SplitSGD is easy-to-implement and essentially does not incur additional computational cost than standard SGD. Through a series of extensive experiments, we show that this method is appropriate for both convex problems and training (non-convex) neural networks, with performance compared favorably to other stochastic optimization methods. Importantly, this method is observed to be very robust with a set of default parameters for a wide range of problems and, moreover, yields better generalization performance than other adaptive gradient methods such as Adam.
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Many decision problems in science, engineering and economics are affected by uncertain parameters whose distribution is only indirectly observable through samples. The goal of data-driven decision-making is to learn a decision from finitely many training samples that will perform well on unseen test samples. This learning task is difficult even if all training and test samples are drawn from the same distribution---especially if the dimension of the uncertainty is large relative to the training sample size. Wasserstein distributionally robust optimization seeks data-driven decisions that perform well under the most adverse distribution within a certain Wasserstein distance from a nominal distribution constructed from the training samples. In this tutorial we will argue that this approach has many conceptual and computational benefits. Most prominently, the optimal decisions can often be computed by solving tractable convex optimization problems, and they enjoy rigorous out-of-sample and asymptotic consistency guarantees. We will also show that Wasserstein distributionally robust optimization has interesting ramifications for statistical learning and motivates new approaches for fundamental learning tasks such as classification, regression, maximum likelihood estimation or minimum mean square error estimation, among others.
Majorization-minimization algorithms consist of iteratively minimizing a majorizing surrogate of an objective function. Because of its simplicity and its wide applicability, this principle has been very popular in statistics and in signal processing. In this paper, we intend to make this principle scalable. We introduce a stochastic majorization-minimization scheme which is able to deal with large-scale or possibly infinite data sets. When applied to convex optimization problems under suitable assumptions, we show that it achieves an expected convergence rate of $O(1/sqrt{n})$ after $n$ iterations, and of $O(1/n)$ for strongly convex functions. Equally important, our scheme almost surely converges to stationary points for a large class of non-convex problems. We develop several efficient algorithms based on our framework. First, we propose a new stochastic proximal gradient method, which experimentally matches state-of-the-art solvers for large-scale $ell_1$-logistic regression. Second, we develop an online DC programming algorithm for non-convex sparse estimation. Finally, we demonstrate the effectiveness of our approach for solving large-scale structured matrix factorization problems.
In this paper, we propose a unified view of gradient-based algorithms for stochastic convex composite optimization by extending the concept of estimate sequence introduced by Nesterov. This point of view covers the stochastic gradient descent method, variants of the approaches SAGA, SVRG, and has several advantages: (i) we provide a generic proof of convergence for the aforementioned methods; (ii) we show that this SVRG variant is adaptive to strong convexity; (iii) we naturally obtain new algorithms with the same guarantees; (iv) we derive generic strategies to make these algorithms robust to stochastic noise, which is useful when data is corrupted by small random perturbations. Finally, we show that this viewpoint is useful to obtain new accelerated algorithms in the sense of Nesterov.
We propose a new stochastic optimization framework for empirical risk minimization problems such as those that arise in machine learning. The traditional approaches, such as (mini-batch) stochastic gradient descent (SGD), utilize an unbiased gradient estimator of the empirical average loss. In contrast, we develop a computationally efficient method to construct a gradient estimator that is purposely biased toward those observations with higher current losses. On the theory side, we show that the proposed method minimizes a new ordered modification of the empirical average loss, and is guaranteed to converge at a sublinear rate to a global optimum for convex loss and to a critical point for weakly convex (non-convex) loss. Furthermore, we prove a new generalization bound for the proposed algorithm. On the empirical side, the numerical experiments show that our proposed method consistently improves the test errors compared with the standard mini-batch SGD in various models including SVM, logistic regression, and deep learning problems.
Control variates are a well-established tool to reduce the variance of Monte Carlo estimators. However, for large-scale problems including high-dimensional and large-sample settings, their advantages can be outweighed by a substantial computational cost. This paper considers control variates based on Stein operators, presenting a framework that encompasses and generalizes existing approaches that use polynomials, kernels and neural networks. A learning strategy based on minimising a variational objective through stochastic optimization is proposed, leading to scalable and effective control variates. Novel theoretical results are presented to provide insight into the variance reduction that can be achieved, and an empirical assessment, including applications to Bayesian inference, is provided in support.
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