Stochastic optimization library: SGDLibrary

Hiroyuki Kasai

Keywords: Stochastic optimization, stochastic gradient, finite-sum minimization problem, large-scale optimization problem

TL;DR: SGDLibrary is a open source MATLAB library of stochastic optimization algorithms.

Abstract: SGDLibrary is a open source MATLAB library of stochastic optimization algorithms, which finds the minimizer of a function f: R^d -> R of the finite-sum form min f(w) = 1/n sum_i f_i(w). This problem has been studied intensively in recent years in the field of machine learning. One typical but promising approach for large-scale data is to use a stochastic optimization algorithm to solve the problem. SGDLibrary is a readable, flexible and extensible pure-MATLAB library of a collection of stochastic optimization algorithms. The purpose of the library is to provide researchers and implementers a comprehensive evaluation environment for the use of these algorithms on various machine learning problems.

Decision: accept