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Optimal Learning for Multi-pass Stochastic Gradient Methods

NeurIPS 2016 · Optimization › Optimizers · approach: SGD momentum and step-size schedules · 6 citations (OpenAlex)

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Measured effects reported in the paper

What was changedWhereMeasuredEffect
Use mini-batch size b = sqrt(m) instead of b = 1 (keeping optimal rate) allowing larger step-size eta_t ~ 1/sqrt(m) versus 1/mmulti-pass SGM for least squares · theoretical analysis (Corollary 3.1 / 3.6 vs 3.4)excess risk convergence rateHelped
Early stopping of multi-pass SGM with a universal step-size (number of passes as regularization parameter)SGM with fixed step-size eta ~ 1/m · theoretical analysis (Corollary 3.4)excess risk convergence rateHelped
Simulation: mini-batch SGM, simple SGM and batch GM perform similarly on BreastCancer classification errormini-batch SGM vs SGM vs batch GM · BreastCancerclassification errorNo clear effect
Simulation: computational variance negligible relative to bias and sample error in synthetic experimentsmini-batch SGM and SGM · synthetic regression, m=100error decomposition (computational variance)No clear effect
Larger number of passes increases sample error while decreasing bias (early stopping trade-off)SGM with multiple passes · synthetic regression, m=100bias and sample error vs passesMixed

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