The importance of better models in stochastic optimization

DOI10.1073/PNAS.1908018116MaRDI QIDQ5218482zbMATH OpenOpenAlexWikidataFDO

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)

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

Mathematics Subject Classification ID

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

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.

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