AI-SARAH: Adaptive and Implicit Stochastic Recursive Gradient Methods
We present AI-SARAH, a practical variant of SARAH. As a variant of SARAH, this algorithm employs the stochastic recursive gradient yet adjusts step-size based on local geometry. AI-SARAH implicitly computes step-size and efficiently estimates local Lipschitz smoothness of stochastic functions. It is fully adaptive, tune-free, straightforward to implement, and computationally efficient. We provide technical insight and intuitive illustrations on its design and convergence. We conduct extensive empirical analysis and demonstrate its strong performance compared with its classical counterparts and other state-of-the-art first-order methods in solving convex machine learning problems. Copyright © 2021, The Authors. All rights reserved.
Gradient methods, Machine learning, Classical counterpart, Computationally efficient, Empirical analysis, Gradient's methods, Lipschitz, Local geometry, Performance, Step size, Stochastic functions, Stochastics, Stochastic systems, Machine Learning (cs.LG), Optimization and Control (math.OC)
Z. Shi, Ab. Sadiev, N. Loizou, P. Ricktarik, and M. Takac, "AI-SARAH: Adaptive and Implicit Stochastic Recursive Gradient Methods", 2021, arXiv:2102.09700