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5 - Stochastic Gradient

Published online by Cambridge University Press:  31 March 2022

Stephen J. Wright
Affiliation:
University of Wisconsin, Madison
Benjamin Recht
Affiliation:
University of California, Berkeley
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Summary

We describe the stochastic gradient method, the fundamental algorithm for several important problems in data science, including deep learning. We give several example problems for which this method is suitable, then described its operation for the simple problem of computing a mean of a collection of values. We related it to a classical method, the Kaczmarz method for solving a system of linear equalities and inequalities. Next, we describe the key assumptions to be used in convergence analysis, then describe the convergence rates attainable by several variants of stochastic gradient under several scenarios. Finally, we discuss several aspects of practical implementation of stochastic gradient, including minibatching and acceleration.

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Publisher: Cambridge University Press
Print publication year: 2022

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  • Stochastic Gradient
  • Stephen J. Wright, University of Wisconsin, Madison, Benjamin Recht, University of California, Berkeley
  • Book: Optimization for Data Analysis
  • Online publication: 31 March 2022
  • Chapter DOI: https://doi.org/10.1017/9781009004282.006
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  • Stochastic Gradient
  • Stephen J. Wright, University of Wisconsin, Madison, Benjamin Recht, University of California, Berkeley
  • Book: Optimization for Data Analysis
  • Online publication: 31 March 2022
  • Chapter DOI: https://doi.org/10.1017/9781009004282.006
Available formats
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Save book to Google Drive

To save content items to your account, please confirm that you agree to abide by our usage policies. If this is the first time you use this feature, you will be asked to authorise Cambridge Core to connect with your account. Find out more about saving content to Google Drive.

  • Stochastic Gradient
  • Stephen J. Wright, University of Wisconsin, Madison, Benjamin Recht, University of California, Berkeley
  • Book: Optimization for Data Analysis
  • Online publication: 31 March 2022
  • Chapter DOI: https://doi.org/10.1017/9781009004282.006
Available formats
×