Beating SGD Saturation with Tail-Averaging and Minibatching

Part of Advances in Neural Information Processing Systems 32 (NeurIPS 2019)

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Authors

Nicole Muecke, Gergely Neu, Lorenzo Rosasco

Abstract

<p>While stochastic gradient descent (SGD) is one of the major workhorses in machine learning, the learning properties of many practically used variants are still poorly understood. In this paper, we consider least squares learning in a nonparametric setting and contribute to filling this gap by focusing on the effect and interplay of multiple passes, mini-batching and averaging, in particular tail averaging. Our results show how these different variants of SGD can be combined to achieve optimal learning rates, also providing practical insights. A novel key result is that tail averaging allows faster convergence rates than uniform averaging in the nonparametric setting. Further, we show that a combination of tail-averaging and minibatching allows more aggressive step-size choices than using any one of said components.</p>