A New Accelerated Stochastic Gradient Method with Momentum

In this paper, we propose a novel accelerated stochastic gradient method with momentum, which momentum is the weighted average of previous gradients. The weights decays inverse proportionally with the iteration times. Stochastic gradient descent with momentum (Sgdm) use weights that decays exponentially with the iteration times to generate an momentum term. Using exponentially decaying weights, variants of Sgdm with well designed and complicated formats have been proposed to achieve better performance. The momentum update rules of our method is as simple as that of Sgdm. We provide theoretical convergence properties analyses for our method, which show both the exponentially decay weights and our inverse proportionally decay weights can limit the variance of the moving direction of parameters to be optimized to a region. Experimental results empirically show that our method works well with practical problems and outperforms Sgdm, and it outperforms Adam in convolutional neural networks.

Can speed up the convergence rate of stochastic gradient methods to $\mathcal{O}$ by a gradient averaging strategy?

In this paper we consider the question of whether it is possible to apply a gradient averaging strategy to improve on the sublinear convergence rates without any increase in storage. Our analysis reveals that a positive answer requires an appropriate averaging strategy and iterations that satisfy the variance dominant condition. As an interesting fact, we show that if the iterative variance we defined is always dominant even a little bit in the stochastic gradient iterations, the proposed gradient averaging strategy can increase the convergence rate $\mathcal{O}(1/k)$ to $\mathcal{O}(1/k^2)$ in probability for the strongly convex objectives with Lipschitz gradients. This conclusion suggests how we should control the stochastic gradient iterations to improve the rate of convergence.

Stochastic gradient-free descents

In this paper we propose stochastic gradient-free methods and accelerated methods with momentum for solving stochastic optimization problems. All these methods rely on stochastic directions rather than stochastic gradients. We analyze the convergence behavior of these methods under the mean-variance framework, and also provide a theoretical analysis about the inclusion of momentum in stochastic settings which reveals that the momentum term we used adds a deviation of order $\mathcal{O}(1/k)$ but controls the variance at the order $\mathcal{O}(1/k)$ for the $k$th iteration. So it is shown that, when employing a decaying stepsize $\alpha_k=\mathcal{O}(1/k)$, the stochastic gradient-free methods can still maintain the sublinear convergence rate $\mathcal{O}(1/k)$ and the accelerated methods with momentum can achieve a convergence rate $\mathcal{O}(1/k^2)$ in probability for the strongly convex objectives with Lipschitz gradients; and all these methods converge to a solution with a zero expected gradient norm when the objective function is nonconvex, twice differentiable and bounded below.