Timezone: »
In this paper, we present a local convergence anal- ysis for a class of stochastic optimisation meth- ods: the proximal variance reduced stochastic gradient methods, and mainly focus on SAGA (Defazio et al., 2014) and Prox-SVRG (Xiao & Zhang, 2014). Under the assumption that the non-smooth component of the optimisation prob- lem is partly smooth relative to a smooth mani- fold, we present a unified framework for the local convergence analysis of SAGA/Prox-SVRG: (i) the sequences generated by the methods are able to identify the smooth manifold in a finite num- ber of iterations; (ii) then the sequence enters a local linear convergence regime. Furthermore, we discuss various possibilities for accelerating these algorithms, including adapting to better lo- cal parameters, and applying higher-order deter- ministic/stochastic optimisation methods which can achieve super-linear convergence. Several concrete examples arising from machine learning are considered to demonstrate the obtained result.
Author Information
Clarice Poon (University of Cambridge)
Jingwei Liang (University of Cambridge)
Carola-Bibiane Schönlieb (University of Cambridge)
Related Events (a corresponding poster, oral, or spotlight)
-
2018 Poster: Local Convergence Properties of SAGA/Prox-SVRG and Acceleration »
Thu. Jul 12th 04:15 -- 07:00 PM Room Hall B #227
More from the Same Authors
-
2021 : Invited talk 1 - Lessons from the Pandemic for Machine Learning and Medical Imaging »
Workshop CompBio · Carola-Bibiane Schönlieb · Michael Roberts -
2020 Poster: Tuning-free Plug-and-Play Proximal Algorithm for Inverse Imaging Problems »
Kaixuan Wei · Angelica I Aviles-Rivero · Jingwei Liang · Ying Fu · Carola-Bibiane Schönlieb · Hua Huang -
2019 Poster: On the Connection Between Adversarial Robustness and Saliency Map Interpretability »
Christian Etmann · Sebastian Lunz · Peter Maass · Carola-Bibiane Schönlieb -
2019 Oral: On the Connection Between Adversarial Robustness and Saliency Map Interpretability »
Christian Etmann · Sebastian Lunz · Peter Maass · Carola-Bibiane Schönlieb