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Acceleration and Averaging in Stochastic Descent Dynamics

NeurIPS 2017 · Optimization › Nonconvex and smooth optimization · approach: Stochastic gradient last-iterate analysis

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Measured effects reported in the paper

What was changedWhereMeasuredEffect
Add primal-space averaging and tune the learning rate and inverse sensitivity to the noise decaySAMD · Convex smooth minimization with σ_*(t) = O(t^{α_σ}), α_σ < 1/2expected function-value gap: O(t^{α_σ - 1/2}) vs O(t^{max(α_σ - 1/2, -1)})Helped
Add averaging in the primal spaceSAMD · Persistent noise, including increasing volatility under the stated conditionsalmost-sure convergenceHelped
Tune the dual learning rate and inverse sensitivity to the asymptotic noise rateSAMD · Vanishing noise, σ_*(t) = O(t^{α_σ}), α_σ < 1/2expected function-value gap: O(t^{α_σ - 1/2})Helped
Use the theoretically predicted α_r = α_s - α_σ + .5 rather than the empirically better slower α_rSAMD · Vanishing-noise simulations, α_σ = -.5 and α_σ = -1decay rate of expected function values: α_r = α_s - α_σ + .3; α_r = α_s - α_σ + .1Mixed
Use accelerated rather than non-accelerated stochastic mirror descent dynamicsSAMD versus SMD · Simplex-constrained sum-exponential and rank-1 quadratic examplesfunction-value convergenceMixed
Use accelerated rather than non-accelerated stochastic mirror descent dynamicsSAMD versus SMD · Numerical examples with discretized stochastic dynamicsrobustness to discretization step sizeHelped
Increase the noise covariance magnitudeSAMD · Constant-noise numerical trajectoriesoscillation amplitudeHurt

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