The importance of better models in stochastic optimization

DOI10.1073/PNAS.1908018116zbMATH Open1431.90098arXiv1903.08619OpenAlexW2982573148WikidataQ91010866 ScholiaQ91010866MaRDI QIDQ5218482FDOQ5218482

Authors: Hilal Asi, John C. Duchi 

Publication date: 4 March 2020

Published in: Proceedings of the National Academy of Sciences (Search for Journal in Brave)

Abstract: Standard stochastic optimization methods are brittle, sensitive to stepsize choices and other algorithmic parameters, and they exhibit instability outside of well-behaved families of objectives. To address these challenges, we investigate models for stochastic minimization and learning problems that exhibit better robustness to problem families and algorithmic parameters. With appropriately accurate models---which we call the aProx family---stochastic methods can be made stable, provably convergent and asymptotically optimal; even modeling that the objective is nonnegative is sufficient for this stability. We extend these results beyond convexity to weakly convex objectives, which include compositions of convex losses with smooth functions common in modern machine learning applications. We highlight the importance of robustness and accurate modeling with a careful experimental evaluation of convergence time and algorithm sensitivity.

Full work available at URL: https://arxiv.org/abs/1903.08619

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Mathematics Subject Classification ID

Nonparametric robustness (62G35) Stochastic programming (90C15)

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