Hybrid Stochastic-Deterministic Minibatch Proximal Gradient: Less-Than-Single-Pass Optimization with Nearly Optimal Generalization

ICML 2020

Hybrid Stochastic-Deterministic Minibatch Proximal Gradient: Less-Than-Single-Pass Optimization with Nearly Optimal Generalization

Jul 12, 2020
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Stochastic variance-reduced gradient (SVRG) algorithms have been shown to work favorably in solving large-scale learning problems. Despite the remarkable success, the stochastic gradient complexity of SVRG-type algorithms usually scales linearly with data size and thus could still be expensive for huge data. To address this deficiency, we propose a hybrid stochastic-deterministic minibatch proximal gradient (HSDMPG) algorithm for strongly-convex problems that enjoys provably improved data-size-independent complexity guarantees. More precisely, for quadratic loss $F(\theta)$ of $n$ components, we prove that HSDMPG can attain an $\epsilon$-optimization-error $\mathbb{E}[F(\theta)-F(\theta^*)]\leq\epsilon$ within $\mathcal{O}\Big(\frac{\kappa^{1.5}\epsilon^{0.75}\log^{1.5}(\frac{1}{\epsilon})+1}{\epsilon}\wedge\Big(\kappa \sqrt{n}\log^{1.5}\big(\frac{1}{\epsilon}\big)+n\log\big(\frac{1}{\epsilon}\big)\Big)\Big)$ stochastic gradient evaluations, where $\kappa$ is condition number. For generic strongly convex loss functions, we prove a nearly identical complexity bound though at the cost of slightly increased logarithmic factors. For large-scale learning problems, our complexity bounds are superior to those of the prior state-of-the-art SVRG algorithms with or without dependence on data size. Particularly, in the case of $\epsilon=\mathcal{O}\big(1/\sqrt{n}\big)$ which is at the order of intrinsic excess error bound of a learning model and thus sufficient for generalization, the stochastic gradient complexity bounds of HSDMPG for quadratic and generic loss functions are respectively $\mathcal{O} (n^{0.875}\log^{1.5}(n))$ and $\mathcal{O} (n^{0.875}\log^{2.25}(n))$, which to our best knowledge, for the first time achieve optimal generalization in less than a single pass over data. Extensive numerical results demonstrate the computational advantages of our algorithm over the prior ones. Speakers: Pan Zhou, Xiao-Tong Yuan

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