Demystifying the Myths and Legends of Nonconvex Convergence of SGD

• URL: http://arxiv.org/abs/2310.12969v1
• Date: Thu, 19 Oct 2023 17:58:59 GMT
• Title: Demystifying the Myths and Legends of Nonconvex Convergence of SGD
• Authors: Aritra Dutta, El Houcine Bergou, Soumia Boucherouite, Nicklas Werge, Melih Kandemir, Xin Li
• Abstract summary: gradient descent (SGD) and its variants are the main workhorses for solving large-scale optimization problems. As our analyses, we addressed certain myths and legends related to the non convergence of the gradient.
• Score: 17.445810977264067
• License: http://arxiv.org/licenses/nonexclusive-distrib/1.0/
• Abstract: Stochastic gradient descent (SGD) and its variants are the main workhorses for solving large-scale optimization problems with nonconvex objective functions. Although the convergence of SGDs in the (strongly) convex case is well-understood, their convergence for nonconvex functions stands on weak mathematical foundations. Most existing studies on the nonconvex convergence of SGD show the complexity results based on either the minimum of the expected gradient norm or the functional sub-optimality gap (for functions with extra structural property) by searching the entire range of iterates. Hence the last iterations of SGDs do not necessarily maintain the same complexity guarantee. This paper shows that an $\epsilon$-stationary point exists in the final iterates of SGDs, given a large enough total iteration budget, $T$, not just anywhere in the entire range of iterates -- a much stronger result than the existing one. Additionally, our analyses allow us to measure the density of the $\epsilon$-stationary points in the final iterates of SGD, and we recover the classical $O(\frac{1}{\sqrt{T}})$ asymptotic rate under various existing assumptions on the objective function and the bounds on the stochastic gradient. As a result of our analyses, we addressed certain myths and legends related to the nonconvex convergence of SGD and posed some thought-provoking questions that could set new directions for research.

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