Stochastic optimization under time drift: iterate averaging, step-decay schedules, and high probability guaranteesDownload PDF

21 May 2021, 20:44 (edited 21 Dec 2021)NeurIPS 2021 PosterReaders: Everyone
  • Keywords: stochastic gradient, online tracking, concept drift, high-probability bounds
  • TL;DR: We establish high-probability guarantees for stochastic optimization under time drift.
  • Abstract: We consider the problem of minimizing a convex function that is evolving in time according to unknown and possibly stochastic dynamics. Such problems abound in the machine learning and signal processing literature, under the names of concept drift and stochastic tracking. We provide novel non-asymptotic convergence guarantees for stochastic algorithms with iterate averaging, focusing on bounds valid both in expectation and with high probability. Notably, we show that the tracking efficiency of the proximal stochastic gradient method depends only logarithmically on the initialization quality when equipped with a step-decay schedule.
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