1. Multi-stage stochastic gradient method with momentum acceleration
- Author
-
Siyu Chen, Yueen Hou, Zhijian Luo, and Yuntao Qian
- Subjects
Optimization problem ,Computer science ,020206 networking & telecommunications ,02 engineering and technology ,Momentum ,Acceleration ,Stochastic gradient descent ,Rate of convergence ,Control and Systems Engineering ,Signal Processing ,Convergence (routing) ,Convex optimization ,0202 electrical engineering, electronic engineering, information engineering ,Applied mathematics ,020201 artificial intelligence & image processing ,Stochastic optimization ,Computer Vision and Pattern Recognition ,Electrical and Electronic Engineering ,Software - Abstract
Multi-stage optimization which invokes a stochastic algorithm restarting with the returned solution of previous stage, has been widely employed in stochastic optimization. Momentum acceleration technique is famously known for building gradient-based algorithms with fast convergence in large-scale optimization. In order to take the advantage of this acceleration in multi-stage stochastic optimization, we develop a multi-stage stochastic gradient descent with momentum acceleration method, named MAGNET, for first-order stochastic convex optimization. The main ingredient is the employment of a negative momentum, which extends the Nesterov’s momentum to the multi-stage optimization. It can be incorporated in a stochastic gradient-based algorithm in multi-stage mechanism and provide acceleration. The proposed algorithm obtains an accelerated rate of convergence, and is adaptive and free from hyper-parameter tuning. The experimental results demonstrate that our algorithm is competitive with some state-of-the-art methods for solving several typical optimization problems in machine learning.
- Published
- 2021
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