Follow the Signs for Robust Stochastic Optimization

2017

Article

pn


Stochastic noise on gradients is now a common feature in machine learning. It complicates the design of optimization algorithms, and its effect can be unintuitive: We show that in some settings, particularly those of low signal-to-noise ratio, it can be helpful to discard all but the signs of stochastic gradient elements. In fact, we argue that three popular existing methods already approximate this very paradigm. We devise novel stochastic optimization algorithms that explicitly follow stochastic sign estimates while appropriately accounting for their uncertainty. These methods favorably compare to the state of the art on a number of benchmark problems.

Author(s): Balles, Lukas and Hennig, Philipp
Journal: arXiv preprint arXiv:1705.07774
Year: 2017

Department(s): Probabilistic Numerics
Research Project(s): Probabilistic Methods for Nonlinear Optimization
Bibtex Type: Article (article)

URL: https://arxiv.org/pdf/1705.07774

BibTex

@article{balles2017follow,
  title = {Follow the Signs for Robust Stochastic Optimization},
  author = {Balles, Lukas and Hennig, Philipp},
  journal = {arXiv preprint arXiv:1705.07774},
  year = {2017},
  url = {https://arxiv.org/pdf/1705.07774}
}