AI-SARAH: Adaptive and Implicit Stochastic Recursive Gradient MethodsDownload PDF

Anonymous

Sep 29, 2021 (edited Oct 05, 2021)ICLR 2022 Conference Blind SubmissionReaders: Everyone
  • Keywords: practical variant of SARAH, adaptive step-size, tune-free algorithm, implicit approach, convex optimization in machine learning
  • Abstract: We present AI-SARAH, a practical variant of SARAH. As a variant of SARAH, this algorithm employs the stochastic recursive gradient yet adjusts step-size based on local geometry. AI-SARAH implicitly computes step-size and efficiently estimates local Lipschitz smoothness of stochastic functions. It is fully adaptive, tune-free, straightforward to implement, and computationally efficient. We provide technical insight and intuitive illustrations on its design and convergence. We conduct extensive empirical analysis and demonstrate its strong performance compared with its classical counterparts and other state-of-the-art first-order methods in solving convex machine learning problems.
  • One-sentence Summary: A tune-free & fully adaptive algorithm and a practical variant of SARAH.
  • Supplementary Material: zip
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