Eigencurve: Optimal Learning Rate Schedule for SGD on Quadratic Objectives with Skewed Hessian Spectrums

Rui Pan, Haishan Ye, Tong Zhang

Keywords: optimization, learning rate schedule, optimal convergence rate

Abstract:

Learning rate schedulers have been widely adopted in training deep neural networks. Despite their practical importance, there is a discrepancy between its practice and its theoretical analysis. For instance, it is not known what schedules of SGD achieve best convergence, even for simple problems such as optimizing quadratic objectives. In this paper, we propose Eigencurve, the first family of learning rate schedules that can achieve minimax optimal convergence rates (up to a constant) for SGD on quadratic objectives when the eigenvalue distribution of the underlying Hessian matrix is skewed. The condition is quite common in practice. Experimental results show that Eigencurve can significantly outperform step decay in image classification tasks on CIFAR-10, especially when the number of epochs is small. Moreover, the theory inspires two simple learning rate schedulers for practical applications that can approximate eigencurve.
For some problems, the optimal shape of the proposed schedulers resembles that of cosine decay, which sheds light to the success of cosine decay for such situations. For other situations, the proposed schedulers are superior to cosine decay.

One-sentence Summary: A learning rate schedule which achieves minimax optimal convergence rate (up to a constant) for SGD on quadratic objectives with skewed Hessian spectrums.