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arXiv · 1707.06219

Acceleration and Averaging in Stochastic Mirror Descent Dynamics

Walid Krichene·Peter L. Bartlett
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Abstract

We formulate and study a general family of (continuous-time) stochastic dynamics for accelerated first-order minimization of smooth convex functions. Building on an averaging formulation of accelerated mirror descent, we propose a stochastic variant in which the gradient is contaminated by noise, and study the resulting stochastic differential equation. We prove a bound on the rate of change of an energy function associated with the problem, then use it to derive estimates of convergence rates of the function values, (a.s. and in expectation) both for persistent and asymptotically vanishing noise. We discuss the interaction between the parameters of the dynamics (learning rate and averaging weights) and the covariation of the noise process, and show, in particular, how the asymptotic rate of covariation affects the choice of parameters and, ultimately, the convergence rate.

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Walid Krichene, Peter L. Bartlett. 2017-07-19. Acceleration and Averaging in Stochastic Mirror Descent Dynamics. https://arxiv.org/abs/1707.06219

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