Authors
Derek Driggs, Matthias J Ehrhardt, Carola-Bibiane Schönlieb
Publication date
2020/9/15
Journal
Mathematical Programming
Pages
1-45
Publisher
Springer Berlin Heidelberg
Description
Variance reduction is a crucial tool for improving the slow convergence of stochastic gradient descent. Only a few variance-reduced methods, however, have yet been shown to directly benefit from Nesterov’s acceleration techniques to match the convergence rates of accelerated gradient methods. Such approaches rely on “negative momentum”, a technique for further variance reduction that is generally specific to the SVRG gradient estimator. In this work, we show for the first time that negative momentum is unnecessary for acceleration and develop a universal acceleration framework that allows all popular variance-reduced methods to achieve accelerated convergence rates. The constants appearing in these rates, including their dependence on the number of functions n, scale with the mean-squared-error and bias of the gradient estimator. In a series of numerical experiments, we demonstrate that versions of …
Total citations
2021202220232024311511
Scholar articles
D Driggs, MJ Ehrhardt, CB Schönlieb - Mathematical Programming, 2022