# Stochastic optimization

Let be a smooth real-valued function on , where is the dimension. The target problem concerns a given model variable , and is expressed as

where represents the model parameter and denotes the number of samples . is the loss function and is the regularizer with the regularization parameter . Widely diverse machine learning (ML) models fall into this problem. Considering , , and , this results in -norm regularized linear regression problem (a.k.a. ridge regression) for training samples . In case of the binary classification problem with the desired class label and , -norm regularized logistic regression (LR) problem is obtained as , which encourages the sparsity of the solution of . Other problems are matrix completion, support vector machines (SVM), and sparse principal components analysis, to name but a few.

A popular choice of algorithms for solving this problem is the gradient descent method, which calculates the full gradient estimation for every iteration. However, this estimation is computationally costly when is extremely large. A popular alternative is the the stochastic gradient descent algorithm (SGD). As SGD calculates only one gradient for the -th sample, the complexity per iteration is independent of the sample size .

SGD is hindered by a slow convergence rate due to a decaying step size sequence. In addition, the vanilla SGD algorithm is a first-order algorithm, which guarantees convergence to the first-order optimality condition, i.e., , using only the gradient information. As a result, their performance in ill-conditioned problems suffers due to poor curvature approximation. To address these issues, various advanced techniques have been proposed as below.

#### Recent three techniques for acceleration and improvement

• Variance reduction (VR) techniques to exploit a full gradient estimation to reduce variance of noisy stochastic gradient.
• Second-order (SO) algorithms to solve potential problem of first-order algorithms for ill-conditioned problems.
• Sub-sampled Hessian algorithms to achieve second-order optimality condition.

## Software library: SGDLibrary

The SGDLibrary provides a pure-MATLAB library of a collection of stochastic optimization algorithms. Please see the details on software page.

SGDLibrary is on the Github site.

Publication

201812_SGDLibrary_poster