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The Implicit Regularization of Stochastic Gradient Flow for Least Squares
Alnur Ali · Edgar Dobriban · Ryan Tibshirani

Thu Jul 16 09:00 AM -- 09:45 AM & Thu Jul 16 08:00 PM -- 08:45 PM (PDT) @ Virtual #None
We study the implicit regularization of mini-batch stochastic gradient descent, when applied to the fundamental problem of least squares regression. We leverage a continuous-time stochastic differential equation having the same moments as stochastic gradient descent, which we call stochastic gradient flow. We give a bound on the excess risk of stochastic gradient flow at time $t$, over ridge regression with tuning parameter $\lambda = 1/t$. The bound may be computed from explicit constants (e.g., the mini-batch size, step size, number of iterations), revealing precisely how these quantities drive the excess risk. Numerical examples show the bound can be small, indicating a tight relationship between the two estimators. We give a similar result relating the coefficients of stochastic gradient flow and ridge. These results hold under no conditions on the data matrix $X$, and across the entire optimization path (not just at convergence).

Author Information

Alnur Ali (Stanford University)
Edgar Dobriban (University of Pennsylvania)
Ryan Tibshirani (Carnegie Mellon University)

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