Stochastic Variance Reduced Gradient Methods Using a Trust-Region-Like Scheme | |
Yu, Tengteng1; Liu, Xin-Wei2; Dai, Yu-Hong4,5; Sun, Jie2,3 | |
刊名 | JOURNAL OF SCIENTIFIC COMPUTING
![]() |
2021-02-17 | |
卷号 | 87期号:1页码:24 |
关键词 | Stochastic variance reduced gradient Trust region Barzilai-Borwein stepsizes Mini-batches Empirical risk minimization 90C06 90C30 90C90 90C25 |
ISSN号 | 0885-7474 |
DOI | 10.1007/s10915-020-01402-x |
英文摘要 | Stochastic variance reduced gradient (SVRG) methods are important approaches to minimize the average of a large number of cost functions frequently arising in machine learning and many other applications. In this paper, based on SVRG, we propose a SVRG-TR method which employs a trust-region-like scheme for selecting stepsizes. It is proved that the SVRG-TR method is linearly convergent in expectation for smooth strongly convex functions and enjoys a faster convergence rate than SVRG methods. In order to overcome the difficulty of tuning stepsizes by hand, we propose to combine the Barzilai-Borwein (BB) method to automatically compute stepsizes for the SVRG-TR method, named as the SVRG-TR-BB method. By incorporating mini-batching scheme with SVRG-TR and SVRG-TR-BB, respectively, we further propose two extended methods mSVRG-TR and mSVRG-TR-BB. Linear convergence and complexity of mSVRG-TR are given. Numerical experiments on some standard datasets show that SVRG-TR and SVRG-TR-BB are generally better than or comparable to SVRG with best-tuned stepsizes and some modern stochastic gradient methods, while mSVRG-TR and mSVRG-TR-BB are very competitive with mini-batch variants of recent successful stochastic gradient methods. |
资助项目 | Chinese NSF[11671116] ; Chinese NSF[11701137] ; Chinese NSF[12071108] ; Chinese NSF[11631013] ; Chinese NSF[11991020] ; Chinese NSF[12021001] ; Major Research Plan of the NSFC[91630202] ; Beijing Academy of Artificial Intelligence (BAAI) |
WOS研究方向 | Mathematics |
语种 | 英语 |
出版者 | SPRINGER/PLENUM PUBLISHERS |
WOS记录号 | WOS:000620641500005 |
内容类型 | 期刊论文 |
源URL | [http://ir.amss.ac.cn/handle/2S8OKBNM/58194] ![]() |
专题 | 中国科学院数学与系统科学研究院 |
通讯作者 | Liu, Xin-Wei |
作者单位 | 1.Hebei Univ Technol, Sch Artificial Intelligence, Tianjin 300401, Peoples R China 2.Hebei Univ Technol, Inst Math, Tianjin 300401, Peoples R China 3.Natl Univ Singapore, Sch Business, Singapore 119245, Singapore 4.Univ Chinese Acad Sci, Sch Math Sci, Beijing 100049, Peoples R China 5.Chinese Acad Sci, Acad Math & Syst Sci, Inst Computat Math & Sci Engn Comp, State Key Lab Sci & Engn Comp, Beijing 100190, Peoples R China |
推荐引用方式 GB/T 7714 | Yu, Tengteng,Liu, Xin-Wei,Dai, Yu-Hong,et al. Stochastic Variance Reduced Gradient Methods Using a Trust-Region-Like Scheme[J]. JOURNAL OF SCIENTIFIC COMPUTING,2021,87(1):24. |
APA | Yu, Tengteng,Liu, Xin-Wei,Dai, Yu-Hong,&Sun, Jie.(2021).Stochastic Variance Reduced Gradient Methods Using a Trust-Region-Like Scheme.JOURNAL OF SCIENTIFIC COMPUTING,87(1),24. |
MLA | Yu, Tengteng,et al."Stochastic Variance Reduced Gradient Methods Using a Trust-Region-Like Scheme".JOURNAL OF SCIENTIFIC COMPUTING 87.1(2021):24. |
个性服务 |
查看访问统计 |
相关权益政策 |
暂无数据 |
收藏/分享 |
除非特别说明,本系统中所有内容都受版权保护,并保留所有权利。
修改评论