Improved Convergence in High Probability of Clipped Gradient Methods with Heavy Tailed Noise

Published: 21 Sept 2023, Last Modified: 02 Nov 2023NeurIPS 2023 spotlightEveryoneRevisionsBibTeX
Keywords: convex optimization, non-convex optimization, high probability convergence, heavy-tailed noise, clipped stochastic gradient descent, clipped stochastic mirror descent
TL;DR: We provide optimal convergence rate in high probability for clipped gradient methods under heavy-tailed noise, closing the logarithmic suboptimality gap and addressing several open questions in this setting left by previous works.
Abstract: In this work, we study the convergence in high probability of clipped gradient methods when the noise distribution has heavy tails, i.e., with bounded $p$th moments, for some $1<p\le2$. Prior works in this setting follow the same recipe of using concentration inequalities and an inductive argument with union bound to bound the iterates across all iterations. This method results in an increase in the failure probability by a factor of $T$, where $T$ is the number of iterations. We instead propose a new analysis approach based on bounding the moment generating function of a well chosen supermartingale sequence. We improve the dependency on $T$ in the convergence guarantee for a wide range of algorithms with clipped gradients, including stochastic (accelerated) mirror descent for convex objectives and stochastic gradient descent for nonconvex objectives. Our high probability bounds achieve the optimal convergence rates and match the best currently known in-expectation bounds. Our approach naturally allows the algorithms to use time-varying step sizes and clipping parameters when the time horizon is unknown, which appears difficult or even impossible using the techniques from prior works. Furthermore, we show that in the case of clipped stochastic mirror descent, several problem constants, including the initial distance to the optimum, are not required when setting step sizes and clipping parameters.
Supplementary Material: pdf
Submission Number: 10568