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arXiv · 2304.11665

Accelerated Doubly Stochastic Gradient Algorithm for Large-scale Empirical Risk Minimization

Zebang Shen·Hui Qian·Tongzhou Mu·Chao Zhang
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Abstract

Nowadays, algorithms with fast convergence, small memory footprints, and low per-iteration complexity are particularly favorable for artificial intelligence applications. In this paper, we propose a doubly stochastic algorithm with a novel accelerating multi-momentum technique to solve large scale empirical risk minimization problem for learning tasks. While enjoying a provably superior convergence rate, in each iteration, such algorithm only accesses a mini batch of samples and meanwhile updates a small block of variable coordinates, which substantially reduces the amount of memory reference when both the massive sample size and ultra-high dimensionality are involved. Empirical studies on huge scale datasets are conducted to illustrate the efficiency of our method in practice.

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Zebang Shen, Hui Qian, Tongzhou Mu, Chao Zhang. 2023-04-23. Accelerated Doubly Stochastic Gradient Algorithm for Large-scale Empirical Risk Minimization. https://arxiv.org/abs/2304.11665

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