On the Convergence of AdaGrad(Norm) on $\R^{d}$: Beyond Convexity, Non-Asymptotic Rate and Acceleration

• URL: http://arxiv.org/abs/2209.14827v4
• Date: Wed, 4 Oct 2023 04:06:35 GMT
• Title: On the Convergence of AdaGrad(Norm) on $\R^{d}$: Beyond Convexity, Non-Asymptotic Rate and Acceleration
• Authors: Zijian Liu, Ta Duy Nguyen, Alina Ene, Huy L. Nguyen
• Abstract summary: We develop a deeper understanding of AdaGrad and its variants in the standard setting of smooth convex functions. First, we demonstrate new techniques to explicitly bound the convergence rate of the vanilla AdaGrad for unconstrained problems. Second, we propose a variant of AdaGrad for which we can show the convergence of the last iterate, instead of the average iterate.
• Score: 33.247600151322466
• License: http://arxiv.org/licenses/nonexclusive-distrib/1.0/
• Abstract: Existing analysis of AdaGrad and other adaptive methods for smooth convex optimization is typically for functions with bounded domain diameter. In unconstrained problems, previous works guarantee an asymptotic convergence rate without an explicit constant factor that holds true for the entire function class. Furthermore, in the stochastic setting, only a modified version of AdaGrad, different from the one commonly used in practice, in which the latest gradient is not used to update the stepsize, has been analyzed. Our paper aims at bridging these gaps and developing a deeper understanding of AdaGrad and its variants in the standard setting of smooth convex functions as well as the more general setting of quasar convex functions. First, we demonstrate new techniques to explicitly bound the convergence rate of the vanilla AdaGrad for unconstrained problems in both deterministic and stochastic settings. Second, we propose a variant of AdaGrad for which we can show the convergence of the last iterate, instead of the average iterate. Finally, we give new accelerated adaptive algorithms and their convergence guarantee in the deterministic setting with explicit dependency on the problem parameters, improving upon the asymptotic rate shown in previous works.

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