Research map / Optimization / Nonconvex and smooth optimization
Learning Rate Decay Can Exponentially Accelerate SGD for Global Optimization of Nonconvex Functions
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Shows theoretically that learning rate decay in SGD can exponentially accelerate global optimization of nonconvex functions compared with constant step sizes.
Problem
Whether learning rate decay offers an asymptotic advantage for global optimization of nonconvex functions with SGD, which is unclear despite practitioner belief that decay helps.
Approach
Demonstrates a natural class of nonconvex functions where SGD with learning rate decay converges exponentially faster for global optimization than constant-learning-rate SGD.
Key results
- Abstract claims an affirmative answer: a natural class of nonconvex functions where learning rate decay yields exponential acceleration of SGD for global optimization (exact rates not stated in abstract).
Experimental setup
Baselines: SGD with constant learning rate
Builds on: stochastic gradient descent
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