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Optimal Learning for Multi-pass Stochastic Gradient Methods

Junhong Lin · Lorenzo Rosasco

Area 5+6+7+8 #35

Keywords: [ Stochastic Methods ] [ Convex Optimization ] [ Learning Theory ]


We analyze the learning properties of the stochastic gradient method when multiple passes over the data and mini-batches are allowed. In particular, we consider the square loss and show that for a universal step-size choice, the number of passes acts as a regularization parameter, and optimal finite sample bounds can be achieved by early-stopping. Moreover, we show that larger step-sizes are allowed when considering mini-batches. Our analysis is based on a unifying approach, encompassing both batch and stochastic gradient methods as special cases.

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