Last Iterate Risk Bounds of SGD with Decaying Stepsize for Overparameterized Linear Regression

• URL: http://arxiv.org/abs/2110.06198v1
• Date: Tue, 12 Oct 2021 17:49:54 GMT
• Title: Last Iterate Risk Bounds of SGD with Decaying Stepsize for Overparameterized Linear Regression
• Authors: Jingfeng Wu and Difan Zou and Vladimir Braverman and Quanquan Gu and Sham M. Kakade
• Abstract summary: gradient descent (SGD) has been demonstrated to generalize well in many deep learning applications. This paper provides problem-dependent analysis on the last iterate risk bounds of SGD with decaying stepsize.
• Score: 122.70478935214128
• License: http://arxiv.org/licenses/nonexclusive-distrib/1.0/
• Abstract: Stochastic gradient descent (SGD) has been demonstrated to generalize well in many deep learning applications. In practice, one often runs SGD with a geometrically decaying stepsize, i.e., a constant initial stepsize followed by multiple geometric stepsize decay, and uses the last iterate as the output. This kind of SGD is known to be nearly minimax optimal for classical finite-dimensional linear regression problems (Ge et al., 2019), and provably outperforms SGD with polynomially decaying stepsize in terms of the statistical minimax rates. However, a sharp analysis for the last iterate of SGD with decaying step size in the overparameterized setting is still open. In this paper, we provide problem-dependent analysis on the last iterate risk bounds of SGD with decaying stepsize, for (overparameterized) linear regression problems. In particular, for SGD with geometrically decaying stepsize (or tail geometrically decaying stepsize), we prove nearly matching upper and lower bounds on the excess risk. Our results demonstrate the generalization ability of SGD for a wide class of overparameterized problems, and can recover the minimax optimal results up to logarithmic factors in the classical regime. Moreover, we provide an excess risk lower bound for SGD with polynomially decaying stepsize and illustrate the advantage of geometrically decaying stepsize in an instance-wise manner, which complements the minimax rate comparison made in previous work.

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