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.
We present a dual subspace ascent algorithm for support vector machine training that respects a budget constraint limiting the number of support vectors. Budget methods are effective for reducing the training time of kernel SVM while retaining high accuracy. To date, budget training is available only for primal (SGD-ba…
We present a convergence rate analysis for biased stochastic gradient descent (SGD), where individual gradient updates are corrupted by computation errors. We develop stochastic quadratic constraints to formulate a small linear matrix inequality (LMI) whose feasible points lead to convergence bounds of biased SGD. Base…
The training phases of Deep neural network~(DNN) consumes enormous processing time and energy. Compression techniques utilizing the sparsity of DNNs can effectively accelerate the inference phase of DNNs. However, it can be hardly used in the training phase because the training phase involves dense matrix-multiplicatio…
We present a novel method for frequentist statistical inference in M-estimation problems, based on stochastic gradient descent (SGD) with a fixed step size: we demonstrate that the average of such SGD sequences can be used for statistical inference, after proper scaling. An intuitive analysis using the Ornstein-Uhlen…
While significant progress has been made separately on analytics systems for scalable stochastic gradient descent (SGD) and private SGD, none of the major scalable analytics frameworks have incorporated differentially private SGD. There are two inter-related issues for this disconnect between research and practice: (1)…
We describe a computationally efficient, stochastic graph-regularization technique that can be utilized for the semi-supervised training of deep neural networks in a parallel or distributed setting. We utilize a technique, first described in [13] for the construction of mini-batches for stochastic gradient descent (SGD…
In many applications involving large dataset or online updating, stochastic gradient descent (SGD) provides a scalable way to compute parameter estimates and has gained increasing popularity due to its numerical convenience and memory efficiency. While the asymptotic properties of SGD-based estimators have been establi…
Optimal learning rate schedules for SGD in changing data distributions.
problem Minimizing regret in online learning with changing data distributions.
method Characterized optimal schedules for linear regression, proposed schedules for general convex and non-convex losses, and defined a notion of regret for non-convex losses.
result Upper and lower bounds for regret with constants for convex losses, and an upper bound on total expected regret for non-convex losses.
Neural network learns low-dimensional polynomials with SGD near information-theoretic limit.
problem Learning a single-index target function with gradient descent.
method Two-layer neural network optimized by SGD on squared loss.
result Sample and runtime complexity of n≃T=Θ(d⋅polylogd) for polynomial single-index models, matching information theoretic limit up to polylogarithmic factors.
Stochastic gradient descent (SGD) is an immensely popular approach for online learning in settings where data arrives in a stream or data sizes are very large. However, despite an ever-increasing volume of work on SGD, much less is known about the statistical inferential properties of SGD-based predictions. Taking a fu…
Stochastic Gradient Descent (SGD) based training of neural networks with a large learning rate or a small batch-size typically ends in well-generalizing, flat regions of the weight space, as indicated by small eigenvalues of the Hessian of the training loss. However, the curvature along the SGD trajectory is poorly und…
This paper studies communication efficiency in federated learning by optimizing the sum-rate-distortion function for indirect multiterminal source coding.
problem Indirect multiterminal source coding in federated learning where edge devices send noisy gradients to the server.
method Analyzes the rate region for the quadratic vector Gaussian CEO problem under unbiased estimator and derives an explicit formula for the sum-rate-distortion function.
result Derives an explicit formula for the sum-rate-distortion function in the special case of identical gradients over edge devices.