Balancing Rates and Variance via Adaptive Batch-Size for Stochastic Optimization Problems

• URL: http://arxiv.org/abs/2007.01219v2
• Date: Thu, 9 Jul 2020 15:43:37 GMT
• Title: Balancing Rates and Variance via Adaptive Batch-Size for Stochastic Optimization Problems
• Authors: Zhan Gao and Alec Koppel and Alejandro Ribeiro
• Abstract summary: In this work, we seek to balance the fact that attenuating step-size is required for exact convergence with the fact that constant step-size learns faster in time up to an error. Rather than fixing the minibatch the step-size at the outset, we propose to allow parameters to evolve adaptively.
• Score: 120.21685755278509
• License: http://arxiv.org/licenses/nonexclusive-distrib/1.0/
• Abstract: Stochastic gradient descent is a canonical tool for addressing stochastic optimization problems, and forms the bedrock of modern machine learning and statistics. In this work, we seek to balance the fact that attenuating step-size is required for exact asymptotic convergence with the fact that constant step-size learns faster in finite time up to an error. To do so, rather than fixing the mini-batch and the step-size at the outset, we propose a strategy to allow parameters to evolve adaptively. Specifically, the batch-size is set to be a piecewise-constant increasing sequence where the increase occurs when a suitable error criterion is satisfied. Moreover, the step-size is selected as that which yields the fastest convergence. The overall algorithm, two scale adaptive (TSA) scheme, is developed for both convex and non-convex stochastic optimization problems. It inherits the exact asymptotic convergence of stochastic gradient method. More importantly, the optimal error decreasing rate is achieved theoretically, as well as an overall reduction in computational cost. Experimentally, we observe that TSA attains a favorable tradeoff relative to standard SGD that fixes the mini-batch and the step-size, or simply allowing one to increase or decrease respectively.

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