Improving algorithmic performance using stochastic learning rates: In-expectation and almost-surely stochastic approximation, and online learning, results and applications

Mamalis, Theodoros

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https://hdl.handle.net/2142/124240 Copy

Description

Title

Improving algorithmic performance using stochastic learning rates: In-expectation and almost-surely stochastic approximation, and online learning, results and applications

Author(s)

Mamalis, Theodoros

Issue Date

2024-04-10

Director of Research (if dissertation) or Advisor (if thesis)

• Voulgaris, Petros
• Stipanovic, Dusan

Doctoral Committee Chair(s)

Voulgaris, Petros

Committee Member(s)

• Liberzon, Daniel
• Subhonmesh, Bose

Department of Study

Electrical & Computer Eng

Discipline

Electrical & Computer Engr

Degree Granting Institution

University of Illinois at Urbana-Champaign

Degree Name

Ph.D.

Degree Level

Dissertation

Keyword(s)

• Machine Learning
• Artificial Intelligence
• Optimization Algorithms
• Minimization
• Stochastic Systems
• Training Data
• Testing Data
• Upper Bound
• Empirical Loss Measurement
• Learning Rate
• Loss Function
• Convergence

Language

eng

Abstract

In this work, multiplicative stochasticity is applied to the learning rate of stochastic optimization algorithms, giving rise to stochastic learning-rate schemes. In-expectation theoretical convergence results of Stochastic Gradient Descent (SGD) equipped with this novel stochastic learning rate scheme under the stochastic setting, as well as convergence results under the online optimization settings are provided. Empirical results consider the case of an adaptively uniformly distributed multiplicative stochasticity and include not only Stochastic Gradient Descent, but also other popular algorithms equipped with a stochastic learning rate. They demonstrate noticeable optimization performance gains, with respect to their deterministic-learning-rate versions. Under this stochastic learning rate framework, the theoretical almost sure (a.s.) convergence rates of the Stochastic Heavy Ball (SHB) algorithm in the convex and smooth, and the SGD algorithms in the nonconvex and smooth settings are investigated. In specific, it is shown that the a.s. convergence rates for both of these algorithms are accelerated when a stochastic-learning rate scheme satisfying certain criteria is used as opposed to a traditional deterministic-learning rate scheme. The reason for this acceleration is the multiplicative stochasticity which, mainly through its first moment but also its variance, beneficially affects the a.s. convergence rates.

Graduation Semester

2024-05

Type of Resource

Text

Handle URL

https://hdl.handle.net/2142/124240

Copyright and License Information

Copyright 2024 Theodoros Mamalis

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