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Semi-Stochastic Gradient Descent Methods Jakub Konečný University of Edinburgh Lehigh University December 3, 2014

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Based on Basic Method: S2GD Konečný and Richtárik. Semi-Stochastic Gradient Descent Methods, December 2013 Mini-batching (& proximal setting): mS2GD Konečný, Liu, Richtárik and Takáč. mS2GD: mS2GD: Minibatch semi-stochastic gradient descent in the proximal setting, October 2014 Coordinate descent variant: S2CD Konečný, Qu and Richtárik. S2CD: Semi-Stochastic Coordinate Descent, October 2014

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Introduction

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Large scale problem setting Problems are often structured Frequently arising in machine learning Structure – sum of functions is BIG

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Examples Linear regression (least squares) Logistic regression (classification)

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Assumptions Lipschitz continuity of derivative of Strong convexity of

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Gradient Descent (GD) Update rule Fast convergence rate Alternatively, for accuracy we need iterations Complexity of single iteration – (measured in gradient evaluations)

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Stochastic Gradient Descent (SGD) Update rule Why it works Slow convergence Complexity of single iteration – (measured in gradient evaluations) a step-size parameter

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Goal GD SGD Fast convergence gradient evaluations in each iteration Slow convergence Complexity of iteration independent of Combine in a single algorithm

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Semi-Stochastic Gradient Descent S2GD

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Intuition The gradient does not change drastically We could reuse the information from “old” gradient

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Modifying “old” gradient Imagine someone gives us a “good” point and Gradient at point, near, can be expressed as Approximation of the gradient Already computed gradientGradient change We can try to estimate

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The S2GD Algorithm Simplification; size of the inner loop is random, following a geometric rule

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Theorem

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Convergence rate How to set the parameters ? Can be made arbitrarily small, by decreasing For any fixed, can be made arbitrarily small by increasing

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Setting the parameters The accuracy is achieved by setting Total complexity (in gradient evaluations) # of epochs full gradient evaluation cheap iterations # of epochs stepsize # of iterations Fix target accuracy

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Complexity S2GD complexity GD complexity iterations complexity of a single iteration Total

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Related Methods SAG – Stochastic Average Gradient (Mark Schmidt, Nicolas Le Roux, Francis Bach, 2013) Refresh single stochastic gradient in each iteration Need to store gradients. Similar convergence rate Cumbersome analysis SAGA (Aaron Defazio, Francis Bach, Simon Lacoste-Julien, 2014) Refined analysis MISO - Minimization by Incremental Surrogate Optimization (Julien Mairal, 2014) Similar to SAG, slightly worse performance Elegant analysis

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Related Methods SVRG – Stochastic Variance Reduced Gradient (Rie Johnson, Tong Zhang, 2013) Arises as a special case in S2GD Prox-SVRG (Tong Zhang, Lin Xiao, 2014) Extended to proximal setting EMGD – Epoch Mixed Gradient Descent (Lijun Zhang, Mehrdad Mahdavi, Rong Jin, 2013) Handles simple constraints, Worse convergence rate

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Experiment (logistic regression on: ijcnn, rcv, real-sim, url)

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Extensions

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Extensions summary S2GD: Efficient handling of sparse data Pre-processing with SGD (S2GD+) Non-strongly convex losses High-probability result Minibatching: mS2GD Konečný, Liu, Richtárik and Takáč. mS2GD: mS2GD: Minibatch semi-stochastic gradient descent in the proximal setting, October 2014 Coordinate descent variant:S2CD Konečný, Qu, Richtárik. S2CD: Semi-Stochastic Coordinate Descent, October 2014

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Sparse data For linear/logistic regression, gradient copies sparsity pattern of example. But the update direction is fully dense Can we do something about it? DENSESPARSE

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Sparse data Yes we can! To compute, we only need coordinates of corresponding to nonzero elements of For each coordinate, remember when was it updated last time – Before computing in inner iteration number, update required coordinates Step being Compute direction and make a single update Number of iterations when the coordinate was not updated The “old gradient”

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Sparse data implementation

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S2GD+ Observing that SGD can make reasonable progress, while S2GD computes first full gradient (in case we are starting from arbitrary point), we can formulate the following algorithm (S2GD+)

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S2GD+ Experiment

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High Probability Result The result holds only in expectation Can we say anything about the concentration of the result in practice? For any we have: Paying just logarithm of probability Independent from other parameters

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Code Efficient implementation for logistic regression - available at MLOSS

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mS2GD (mini-batch S2GD) How does mini-batching influence the algorithm? Replace by Provides two-fold speedup Provably less gradient evaluations are needed (up to certain number of mini-batches) Easy possibility of parallelism

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S2CD (Semi-Stochastic Coordinate Descent) SGD type methods Sampling rows (training examples) of data matrix Coordinate Descent type methods Sampling columns (features) of data matrix Question: Can we do both? Sample both columns and rows

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S2CD (Semi-Stochastic Coordinate Descent) Comlpexity S2GD

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S2GD as a Learning Algorithm

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Problem with “us” optimizers Optimizers care about optimization Statisticians care about statistics In isolation Practical need to control both statistical predictive power and effort spent on optimization, is not well understood. Optimizers should be aware of… The following framework is mostly due to Bottou and Bousquets, 2007

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Machine Learning Setting Space of input-output pairs Unknown distribution A relationship between inputs and outputs Loss function to measure discrepancy between predicted and real output Define Expected Risk

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Machine Learning Setting Ideal goal: Find such that, But you cannot even evaluate Define Expected Risk

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Machine Learning Setting We at least have iid samples Define Empirical Risk

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First learning principle – fix a family of candidate prediction functions Find Empirical Minimizer Define Empirical Risk Machine Learning Setting

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Since optimal is unlikely to belong to, we also define Define Empirical Risk Machine Learning Setting

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Finding by minimizing the Empirical Risk exactly is often computationally expensive Run optimization algorithm that returns such that Define Empirical Risk Machine Learning Setting

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Recapitulation Ideal optimum “Best” from our family Empirical Minimizer From approximate optimization

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Machine Learning Goal Big goal is to minimize the Excess Risk Approximation error Estimation Error Optimization Error

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Generic Machine Learning Problem All this leads to a complicated compromise Three variables Family of functions Number or examples Optimization accuracy Two constraints Maximal number of examples Maximal computational time available

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Generic Machine Learning Problem Small scale learning problem If first inequality is tight Can reduce to insignificant levels and recover approximation-estimation tradeoff (well studied) Large scale learning problem If second inequality is tight More complicated compromise

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Solving Large Scale ML Problem Several simplifications needed Not carefully balance the three terms; instead we only ensure that asymptotically Consider fixed family of functions, linearly parameterized by a vector Effectively setting to be a constant Simplifies to Estimation–Optimization tradeoff

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Estimation–Optimization tradeoff Using uniform convergence bounds, one can obtain Often considered weak

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Estimation–Optimization tradeoff Using Localized Bounds (Bousquet, PhD thesis, 2004) or Isomorphic Coordinate Projections (Bartlett and Mendelson, 2006), we get … if we can establish the following variance condition Often, for example under strong convexity, or making assumptions on the data distribution

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Estimation–Optimization tradeoff Using the previous bounds yields where is an absolute constant We want to push this term below Choosing and using and we get the following table

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