Convergence rate of sign stochastic gradient descent for non-convex functions

Jeremy Bernstein, Kamyar Azizzadenesheli, Yu-Xiang Wang, Anima Anandkumar

Feb 15, 2018 (modified: Feb 15, 2018) ICLR 2018 Conference Blind Submission readers: everyone Show Bibtex
  • Abstract: The sign stochastic gradient descent method (signSGD) utilizes only the sign of the stochastic gradient in its updates. Since signSGD carries out one-bit quantization of the gradients, it is extremely practical for distributed optimization where gradients need to be aggregated from different processors. For the first time, we establish convergence rates for signSGD on general non-convex functions under transparent conditions. We show that the rate of signSGD to reach first-order critical points matches that of SGD in terms of number of stochastic gradient calls, up to roughly a linear factor in the dimension. We carry out simple experiments to explore the behaviour of sign gradient descent (without the stochasticity) close to saddle points and show that it often helps completely avoid them without using either stochasticity or curvature information.
  • TL;DR: We prove a non-convex convergence rate for the sign stochastic gradient method. The algorithm has links to algorithms like Adam and Rprop, as well as gradient quantisation schemes used in distributed machine learning.
  • Keywords: sign, stochastic, gradient, non-convex, optimization, gradient, quantization, convergence, rate
0 Replies