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Online learning algorithms require to often recompute least squares regression estimates of parameters. We study improving the computational complexity of such algorithms by using stochastic gradient descent (SGD) type schemes in place of…
Sampling methods (e.g., node-wise, layer-wise, or subgraph) has become an indispensable strategy to speed up training large-scale Graph Neural Networks (GNNs). However, existing sampling methods are mostly based on the graph structural…
In this work we investigate the practicality of stochastic gradient descent and recently introduced variants with variance-reduction techniques in imaging inverse problems. Such algorithms have been shown in the machine learning literature…
We present a unified theorem for the convergence analysis of stochastic gradient algorithms for minimizing a smooth and convex loss plus a convex regularizer. We do this by extending the unified analysis of Gorbunov, Hanzely \& Richt\'arik…
(Mini-batch) Stochastic Gradient Descent is a popular optimization method which has been applied to many machine learning applications. But a rather high variance introduced by the stochastic gradient in each step may slow down the…
Commonly used optimization algorithms often show a trade-off between good generalization and fast training times. For instance, stochastic gradient descent (SGD) tends to have good generalization; however, adaptive gradient methods have…
With the increasing scale and dynamics of data, distributed online optimization has become essential for real-time decision-making in various applications. However, existing algorithms often rely on bounded gradient assumptions and overlook…
Stochastic variance-reduced gradient (SVRG) is a classical optimization method. Although it is theoretically proved to have better convergence performance than stochastic gradient descent (SGD), the generalization performance of SVRG…
We study the asynchronous stochastic gradient descent algorithm for distributed training over $n$ workers which have varying computation and communication frequency over time. In this algorithm, workers compute stochastic gradients in…
Stochastic gradient descent (SGD) is the optimization algorithm of choice in many machine learning applications such as regularized empirical risk minimization and training deep neural networks. The classical convergence analysis of SGD is…
Stochastic Gradient Descent (SGD) often slows in the late stage of training due to anisotropic curvature and gradient noise. We analyze preconditioned SGD in the geometry induced by a symmetric positive definite matrix $\mathbf{M}$,…
Large-scale distributed optimization is of great importance in various applications. For data-parallel based distributed learning, the inter-node gradient communication often becomes the performance bottleneck. In this paper, we propose the…
Mini-batch stochastic gradient methods (SGD) are state of the art for distributed training of deep neural networks. Drastic increases in the mini-batch sizes have lead to key efficiency and scalability gains in recent years. However,…
In this paper, we investigate a general class of stochastic gradient descent (SGD) algorithms, called Conditioned SGD, based on a preconditioning of the gradient direction. Using a discrete-time approach with martingale tools, we establish…
Stochastic Gradient Boosting (SGB) is a widely used approach to regularization of boosting models based on decision trees. It was shown that, in many cases, random sampling at each iteration can lead to better generalization performance of…
Stochastic gradient descent samples uniformly the training set to build an unbiased gradient estimate with a limited number of samples. However, at a given step of the training process, some data are more helpful than others to continue…
One of the most common methods to train machine learning algorithms today is the stochastic gradient descent (SGD). In a distributed setting, SGD-based algorithms have been shown to converge theoretically under specific circumstances. A…
There are several applications of stochastic optimization where one can benefit from a robust estimate of the gradient. For example, domains such as distributed learning with corrupted nodes, the presence of large outliers in the training…
This paper introduces a drift optimization model of stochastic optimization problems driven by regulated stochastic processes. A broad range of problems across operations research, machine learning, and statistics can be viewed as…
Stochastic gradient descent in continuous time (SGDCT) provides a computationally efficient method for the statistical learning of continuous-time models, which are widely used in science, engineering, and finance. The SGDCT algorithm…