Skip to main content

  • Tuesday, February 6, 2018
  • 16:30 - 17:00

Takáč (Lehigh): SARAH: A Novel Method for Machine Learning Problems Using Stochastic Recursive Gradient

In this paper, we propose a StochAstic Recursive grAdient algoritHm (SARAH), as well as its practical variant SARAH+, as a novel approach to the finite-sum minimization problems. Different from the vanilla SGD and other modern stochastic methods such as SVRG, S2GD, SAG and SAGA, SARAH admits a simple recursive framework for updating stochastic gradient estimates; when comparing to SAG/SAGA, SARAH does not require a storage of past gradients. The linear convergence rate of SARAH is proven under strong convexity assumption. We also prove a linear convergence rate (in the strongly convex case) for an inner loop of SARAH, the property that SVRG does not possess. The convergence rate for convex and non-covex case is also discussed. Numerical experiments demonstrate the efficiency of our algorithm.