SGD with AdaGrad Stepsizes: Full Adaptivity with High Probability to Unknown Parameters, Unbounded Gradients and Affine Variance

Published: 24 Apr 2023, Last Modified: 15 Jun 2023ICML 2023 PosterEveryoneRevisions
Abstract: We study Stochastic Gradient Descent with AdaGrad stepsizes: a popular adaptive (self-tuning) method for first-order stochastic optimization. Despite being well studied, existing analyses of this method suffer from various shortcomings: they either assume some knowledge of the problem parameters, impose strong global Lipschitz conditions, or fail to give bounds that hold with high probability. We provide a comprehensive analysis of this basic method without any of these limitations, in both the convex and non-convex (smooth) cases, that additionally supports a general ``affine variance'' noise model and provides sharp rates of convergence in both the low-noise and high-noise regimes.
Submission Number: 2230