H.B. Keller Colloquium

Monday November 9, 2020 2:00 PM

Stochastic Gradient Descent: From Practice Back to Theory

Speaker: Rachel Ward, Department of Mathematics, University of Texas at Austin
Location: Online Event

Stochastic Gradient Descent (SGD) is an increasingly popular optimization algorithm for a variety of large-scale learning problems, due to its computational efficiency and ease of implementation. In particular, SGD is the standard algorithm for training neural networks. In the neural network industry, certain "tricks" added on top of the basic SGD algorithm have demonstrated to improve convergence rate and generalization accuracy in practice , without theoretical foundations. In this talk, we focus on two particular such tricks: AdaGrad, an adaptive gradient method which automatically adjusts the learning rate schedule in SGD to reduce the need for hyperparameter tuning, and Weight Normalization, where SGD is implemented (essentially) with respect to polar rather than Cartesian coordinates. We reframe each of these tricks as a general-purpose modification to the standard SGD algorithm, and provide first theoretical guarantees of convergence, robustness, and generalization performance, in a general context.

Series H. B. Keller Colloquium Series

Contact: Diana Bohler at 626-232-6138 dbohler@caltech.edu