Robust Learning Rate Selection for Stochastic Optimization via Splitting Diagnostic

Matteo Sordello, Hangfeng He, Weijie J Su

Keywords: Optimization, Deep Learning, Stationarity, Adaptive

Abstract: This paper proposes SplitSGD, a new dynamic learning rate schedule for stochastic optimization. This method decreases the learning rate for better adaptation to the local geometry of the objective function whenever a stationary phase is detected, that is, the iterates are likely to bounce at around a vicinity of a local minimum. The detection is performed by splitting the single thread into two and using the inner product of the gradients from the two threads as a measure of stationarity. Owing to this simple yet provably valid stationarity detection, SplitSGD is easy- to-implement and essentially does not incur additional computational cost than standard SGD. Through a series of extensive experiments, we show that this method is appropriate for both convex problems and training (non-convex) neural networks, with performance compared favorably to other stochastic optimization methods. Importantly, this method is observed to be very robust with a set of default parameters for a wide range of problems and, moreover, yields better generalization performance than other adaptive gradient methods such as Adam.

One-sentence Summary: A method to detect stationarity in stochastic optimization to adaptively reduce the learning rate.

Code Of Ethics: I acknowledge that I and all co-authors of this work have read and commit to adhering to the ICLR Code of Ethics

Reviewed Version (pdf): https://openreview.net/references/pdf?id=iNyoxOR3dN