Connecting Optimization and Regularization Paths

Part of Advances in Neural Information Processing Systems 31 (NeurIPS 2018)

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Authors

Arun Suggala, Adarsh Prasad, Pradeep K. Ravikumar

Abstract

<p>We study the implicit regularization properties of optimization techniques by explicitly connecting their optimization paths to the regularization paths of ``corresponding'' regularized problems. This surprising connection shows that iterates of optimization techniques such as gradient descent and mirror descent are \emph{pointwise} close to solutions of appropriately regularized objectives. While such a tight connection between optimization and regularization is of independent intellectual interest, it also has important implications for machine learning: we can port results from regularized estimators to optimization, and vice versa. We investigate one key consequence, that borrows from the well-studied analysis of regularized estimators, to then obtain tight excess risk bounds of the iterates generated by optimization techniques.</p>