通过记忆机制提升随机梯度下降的收敛速度,实现理论加速。
SGD with memory: fundamental properties and stochastic acceleration
- 引入带辅助速度向量的记忆-$M$算法,用特征多项式统一描述方法。
- 证明记忆-1算法可将损失常数$C_L$无限缩小,且保持稳定。
- 提出时变调度的记忆-1算法,实验显示比普通SGD更快收敛。
一个重要的开放问题是:在具有幂律谱的二次问题上,能否理论上加速小批量SGD类算法。在非随机情形下,最优损失收敛指数$ξ$是普通梯度下降(GD)的两倍,可通过带合适调度的重球法(HB)实现;但在小批量噪声存在时,该方法失效。本文针对带有任意固定数量$M$个辅助速度向量(即记忆-$M$算法)的一阶方法进行研究。首先证明两种形式算法的等价性,并用适当的特征多项式描述它们。进而建立损失关于信号与噪声传播器的通用展开式。结果表明,平稳稳定的记忆-$M$算法的损失收敛指数$ξ$始终与普通GD一致,但常数$C_L$取决于其推广的有效学习率,该率扩展了HB的设定。进一步证明,在记忆-1算法中,可在保持稳定性前提下使$C_L$任意小。基于此,我们提出一种时间依赖调度的记忆-1算法,通过启发式分析和实验验证其可提升普通SGD的收敛指数$ξ$。
原文摘要 · Abstract (English)
An important open problem is the theoretically feasible acceleration of mini-batch SGD-type algorithms on quadratic problems with power-law spectrum. In the non-stochastic setting, the optimal exponent $ξ$ in the loss convergence $L_t\sim C_Lt^{-ξ}$ is double that in plain GD and is achievable using Heavy Ball (HB) with a suitable schedule; this no longer works in the presence of mini-batch noise. We address this challenge by considering first-order methods with an arbitrary fixed number $M$ of auxiliary velocity vectors (*memory-$M$ algorithms*). We first prove an equivalence between two forms of such algorithms and describe them in terms of suitable characteristic polynomials. Then we develop a general expansion of the loss in terms of signal and noise propagators. Using it, we show that losses of stationary stable memory-$M$ algorithms always retain the exponent $ξ$ of plain GD, but can have different constants $C_L$ depending on their effective learning rate that generalizes that of HB. We prove that in memory-1 algorithms we can make $C_L$ arbitrarily small while maintaining stability. As a consequence, we propose a memory-1 algorithm with a time-dependent schedule that we show heuristically and experimentally to improve the exponent $ξ$ of plain SGD.
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