English

Closing the convergence gap of SGD without replacement

Machine Learning 2020-07-10 v6 Optimization and Control Machine Learning

Abstract

Stochastic gradient descent without replacement sampling is widely used in practice for model training. However, the vast majority of SGD analyses assumes data is sampled with replacement, and when the function minimized is strongly convex, an O(1T)\mathcal{O}\left(\frac{1}{T}\right) rate can be established when SGD is run for TT iterations. A recent line of breakthrough works on SGD without replacement (SGDo) established an O(nT2)\mathcal{O}\left(\frac{n}{T^2}\right) convergence rate when the function minimized is strongly convex and is a sum of nn smooth functions, and an O(1T2+n3T3)\mathcal{O}\left(\frac{1}{T^2}+\frac{n^3}{T^3}\right) rate for sums of quadratics. On the other hand, the tightest known lower bound postulates an Ω(1T2+n2T3)\Omega\left(\frac{1}{T^2}+\frac{n^2}{T^3}\right) rate, leaving open the possibility of better SGDo convergence rates in the general case. In this paper, we close this gap and show that SGD without replacement achieves a rate of O(1T2+n2T3)\mathcal{O}\left(\frac{1}{T^2}+\frac{n^2}{T^3}\right) when the sum of the functions is a quadratic, and offer a new lower bound of Ω(nT2)\Omega\left(\frac{n}{T^2}\right) for strongly convex functions that are sums of smooth functions.

Keywords

Cite

@article{arxiv.2002.10400,
  title  = {Closing the convergence gap of SGD without replacement},
  author = {Shashank Rajput and Anant Gupta and Dimitris Papailiopoulos},
  journal= {arXiv preprint arXiv:2002.10400},
  year   = {2020}
}

Comments

Simplified some proofs and fixed typos

R2 v1 2026-06-23T13:51:59.872Z