Fast Convergence of Stochastic Gradient Descent under a Strong Growth Condition
Résumé
We consider optimizing a function smooth convex function $f$ that is the average of a set of differentiable functions $f_i$, under the assumption considered by Solodov [1998] and Tseng [1998] that the norm of each gradient $f_i'$ is bounded by a linear function of the norm of the average gradient $f'$. We show that under these assumptions the basic stochastic gradient method with a sufficiently-small constant step-size has an $O(1/k)$ convergence rate, and has a linear convergence rate if $g$ is strongly-convex.
Domaines
Optimisation et contrôle [math.OC]Origine | Fichiers produits par l'(les) auteur(s) |
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