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Acceleration and Averaging in Stochastic Descent Dynamics
Walid Krichene · Peter Bartlett

Tue Dec 05 06:30 PM -- 10:30 PM (PST) @ Pacific Ballroom #175

We formulate and study a general family of (continuous-time) stochastic dynamics for accelerated first-order minimization of smooth convex functions. Building on an averaging formulation of accelerated mirror descent, we propose a stochastic variant in which the gradient is contaminated by noise, and study the resulting stochastic differential equation. We prove a bound on the rate of change of an energy function associated with the problem, then use it to derive estimates of convergence rates of the function values (almost surely and in expectation), both for persistent and asymptotically vanishing noise. We discuss the interaction between the parameters of the dynamics (learning rate and averaging rates) and the covariation of the noise process. In particular, we show how the asymptotic rate of covariation affects the choice of parameters and, ultimately, the convergence rate.

Author Information

Walid Krichene (Google)
Peter Bartlett (UC Berkeley)
Peter Bartlett

Peter Bartlett is professor of Computer Science and Statistics at the University of California at Berkeley, Associate Director of the Simons Institute for the Theory of Computing, and Director of the Foundations of Data Science Institute. He has previously held positions at the Queensland University of Technology, the Australian National University and the University of Queensland. His research interests include machine learning and statistical learning theory, and he is the co-author of the book Neural Network Learning: Theoretical Foundations. He has been Institute of Mathematical Statistics Medallion Lecturer, winner of the Malcolm McIntosh Prize for Physical Scientist of the Year, and Australian Laureate Fellow, and he is a Fellow of the IMS, Fellow of the ACM, and Fellow of the Australian Academy of Science.

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