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Variance-Reduced and Projection-Free Stochastic Optimization

ICML 2016 · Optimization › Nonconvex and smooth optimization · approach: Stochastic Frank-Wolfe methods · 74 citations (OpenAlex)

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Measured effects reported in the paper

What was changedWhereMeasuredEffect
Add variance reduction to SFW, yielding SVRFSFW · Smooth convex optimization# stochastic gradients: \mathcal{O}(\frac{1}{\epsilon^3}) -> \mathcal{O}(\frac{1}{\epsilon^2})Helped
Add variance reduction to SCGS, yielding STORCSCGS · Smooth, G-Lipschitz optimization# stochastic gradients: \mathcal{O}(\frac{1}{\epsilon^2}) -> \mathcal{O}(\frac{1}{\epsilon^{1.5}})Helped
Add variance reduction to SCGS, yielding STORCSCGS · Smooth, strongly convex optimization# stochastic gradients: \mathcal{O}(\frac{1}{\epsilon}) -> \mathcal{O}(\mu^2 \ln \frac{LD^2}{\epsilon})Helped
Add variance reduction to SCGS, yielding STORCSCGS · Optimization with ∇f(w*) = 0# stochastic gradients: \mathcal{O}(\frac{1}{\epsilon^2}) -> \mathcal{O}(\frac{1}{\epsilon})Helped
Use variance reduction in place of ordinary stochastic gradientsProjection-free methods on multiclass classification · news20, rcv1, aloiloss versus running timeHelped
Use projection-free methods instead of projected SGD or SVRGMulticlass classification · news20, rcv1, aloiloss versus running timeHelped
Use STORC instead of the simpler SFW or SVRFProjection-free multiclass classification · news20, rcv1, aloiloss versus running timeHurt

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