A locally-built, LLM-digested index of recent arXiv papers in quant finance, geometry/topology, and statistical ML — keyword search served straight from SQLite on this machine.
A new method for mini-batch optimal transport improves scalability and accuracy.
Proposes m-POT to improve m-OT's misspecified mappings issue.
A new method for risk-averse decision-making in Markov processes with improved regret bounds.
We study a mini-batch diversification scheme for stochastic gradient descent (SGD). While classical SGD relies on uniformly sampling data points to form a mini-batch, we propose a non-uniform sampling scheme based on the Determinantal Point Process (DPP). The DPP relies on a similarity measure between data points and g…
New algorithms minimize MMD to approximate probability measures efficiently.
We present Optimal Transport GAN (OT-GAN), a variant of generative adversarial nets minimizing a new metric measuring the distance between the generator distribution and the data distribution. This metric, which we call mini-batch energy distance, combines optimal transport in primal form with an energy distance define…
This paper presents a methodology for selecting the mini-batch size that minimizes Stochastic Gradient Descent (SGD) learning time for single and multiple learner problems. By decoupling algorithmic analysis issues from hardware and software implementation details, we reveal a robust empirical inverse law between mini-…
Improved SHB method for faster convergence on strongly-convex quadratics.
Study shows gradient variance increases during deep learning training, contrary to common belief.
Study mini-batch SGD noise and its limits, proving complexity guarantees.
A new method optimizes projection directions for sliced Wasserstein distances.
Adaptive Langevin dynamics reduces bias in Bayesian inference with mini-batching.
New method for scalable barycenter computation using Wasserstein gradient flows.
A new algorithm is proposed which accelerates the mini-batch k-means algorithm of Sculley (2010) by using the distance bounding approach of Elkan (2003). We argue that, when incorporating distance bounds into a mini-batch algorithm, already used data should preferentially be reused. To this end we propose using nested …
To deal with very large datasets a mini-batch version of the Monte Carlo Markov Chain Stochastic Approximation Expectation-Maximization algorithm for general latent variable models is proposed. For exponential models the algorithm is shown to be convergent under classicalconditions as the number of iterations increases…
New streaming methods improve convergence rates for optimization problems.
Modern deep neural network training is typically based on mini-batch stochastic gradient optimization. While the use of large mini-batches increases the available computational parallelism, small batch training has been shown to provide improved generalization performance and allows a significantly smaller memory footp…
With the large rising of complex data, the nonconvex models such as nonconvex loss function and nonconvex regularizer are widely used in machine learning and pattern recognition. In this paper, we propose a class of mini-batch stochastic ADMMs (alternating direction method of multipliers) for solving large-scale noncon…
In this paper, we develop a new accelerated stochastic gradient method for efficiently solving the convex regularized empirical risk minimization problem in mini-batch settings. The use of mini-batches is becoming a golden standard in the machine learning community, because mini-batch settings stabilize the gradient es…
Federated multi-mini-batch improves efficiency in non-IID environments.
Study shows how mini-batch GD with random reshuffling affects least squares regression dynamics.
We present a generic framework for trading off fidelity and cost in computing stochastic gradients when the costs of acquiring stochastic gradients of different quality are not known a priori. We consider a mini-batch oracle that distributes a limited query budget over a number of stochastic gradients and aggregates th…
We propose a general yet simple theorem describing the convergence of SGD under the arbitrary sampling paradigm. Our theorem describes the convergence of an infinite array of variants of SGD, each of which is associated with a specific probability law governing the data selection rule used to form mini-batches. This is…
Improved robustness in optimization methods using second-order information.
In this work we develop a new algorithm for regularized empirical risk minimization. Our method extends recent techniques of Shalev-Shwartz [02/2015], which enable a dual-free analysis of SDCA, to arbitrary mini-batching schemes. Moreover, our method is able to better utilize the information in the data defining the ER…
In this paper we aim to formally explain the phenomenon of fast convergence of SGD observed in modern machine learning. The key observation is that most modern learning architectures are over-parametrized and are trained to interpolate the data by driving the empirical loss (classification and regression) close to zero…
In statistical learning for real-world large-scale data problems, one must often resort to "streaming" algorithms which operate sequentially on small batches of data. In this work, we present an analysis of the information-theoretic limits of mini-batch inference in the context of generalized linear models and low-rank…
New findings show mini-batch SGD operates in a 'Edge of Stochastic Stability' regime.
Deep neural networks (DNNs) for supervised learning can be viewed as a pipeline of a feature extractor (i.e. last hidden layer) and a linear classifier (i.e. output layer) that is trained jointly with stochastic gradient descent (SGD). In each iteration of SGD, a mini-batch from the training data is sampled and the tru…
New statistical properties for mini-batch Cox-NN optimization.
Stochastic dual coordinate ascent (SDCA) is an effective technique for solving regularized loss minimization problems in machine learning. This paper considers an extension of SDCA under the mini-batch setting that is often used in practice. Our main contribution is to introduce an accelerated mini-batch version of SDC…
Large-scale distributed training of deep neural networks suffer from the generalization gap caused by the increase in the effective mini-batch size. Previous approaches try to solve this problem by varying the learning rate and batch size over epochs and layers, or some ad hoc modification of the batch normalization. W…
We propose a mini-batching scheme for improving the theoretical complexity and practical performance of semi-stochastic gradient descent applied to the problem of minimizing a strongly convex composite function represented as the sum of an average of a large number of smooth convex functions, and simple nonsmooth conve…
We propose mS2GD: a method incorporating a mini-batching scheme for improving the theoretical complexity and practical performance of semi-stochastic gradient descent (S2GD). We consider the problem of minimizing a strongly convex function represented as the sum of an average of a large number of smooth convex function…
The convergence speed of stochastic gradient descent (SGD) can be improved by actively selecting mini-batches. We explore sampling schemes where similar data points are less likely to be selected in the same mini-batch. In particular, we prove that such repulsive sampling schemes lowers the variance of the gradient est…
New method reduces variance in complex probabilistic model optimization.
The paper analyzes time-dependent streaming data with biased gradient estimates and proposes improved stochastic optimization methods.
Stochastic neural net weights are used in a variety of contexts, including regularization, Bayesian neural nets, exploration in reinforcement learning, and evolution strategies. Unfortunately, due to the large number of weights, all the examples in a mini-batch typically share the same weight perturbation, thereby limi…
We study a risk-constrained version of the stochastic shortest path (SSP) problem, where the risk measure considered is Conditional Value-at-Risk (CVaR). We propose two algorithms that obtain a locally risk-optimal policy by employing four tools: stochastic approximation, mini batches, policy gradients and importance s…
Mini-batch sub-sampling in neural network training is unavoidable, due to growing data demands, memory-limited computational resources such as graphical processing units (GPUs), and the dynamics of on-line learning. In this study we specifically distinguish between static mini-batch sub-sampled loss functions, where mi…
HydaLearn dynamically adjusts task weights for better MTL performance.
We propose a projected semi-stochastic gradient descent method with mini-batch for improving both the theoretical complexity and practical performance of the general stochastic gradient descent method (SGD). We are able to prove linear convergence under weak strong convexity assumption. This requires no strong convexit…
Batch Normalization (BN) uses mini-batch statistics to normalize the activations during training, introducing dependence between mini-batch elements. This dependency can hurt the performance if the mini-batch size is too small, or if the elements are correlated. Several alternatives, such as Batch Renormalization and G…
The paper debiases mini-batch approximations in deep learning for more accurate optimization and uncertainty quantification.
A new algorithm PBNN improves scalability of Bayesian Neural Networks.
We study the problem of reducing the amount of labeled training data required to train supervised classification models. We approach it by leveraging Active Learning, through sequential selection of examples which benefit the model most. Selecting examples one by one is not practical for the amount of training examples…
Stochastic Gradient Descent introduces noise in training, affecting model decision boundaries.
Paper shows local SGD outperforms mini-batch SGD under certain conditions.