Stability of stochastic gradient descent

Analysis of the most powerful algorithm behind neural networks

Posted by Francesco Gadaleta on September 28, 2015

A paper that, in my opinion, will be more influential than the garbage constantly published on many paid journals, is “Train faster, generalize better: Stability of stochastic gradient descent”, written by Moritz Hardt at Google.

The authors published it on Arxiv, from where it can be downloaded for free. In the aforementioned paper, the stability of stochastic gradient descent, SGD, is formally proved for convex, non-convex L-Lipschitz loss functions. That basically means that SGD is guaranteed to be stable under certain assumptions. People at Google have the tendency to be practical and avoid the nonsense of academia as much as they can. The assumptions the authors claim in the paper are indeed more than realistic.

What is Stochastic Gradient Descent

Stochastic gradient descent is a method that minimizes the loss function of a model by repeatedly computing its gradient on a single training example, or a batch of few examples. As a result of the minimization problem, a set of parameters is updated at each iteration. The difference with the classic gradient descent algorithm is exactly in how much samples are considered at each iteration. All of them for Gradient descent and just one or a few for SGD.

As a consequence, SGD is scalable, robust, and performs quite well across many different domains with smooth, convex loss functions but also with complex non-convex ones. The trick is in training the model on very small subsets of the data. What the authors found is that any model trained with SGD will get a small generalization error in a reasonable amount of time. In practice, with a sufficient number of iterations that is linear in the number of observations (the dataset), SGD contains the error, stays stable, and prevents overfitting even without any regularization term.

Regularization (eg. L1-norm) is usually added to the loss function to minimize in order to reduce the number of covariates in a regression method. This approach deals with high dimensional data and prevents overfitting.

The reason for which SGD prevents overfitting by design is, once again, given by the limited subset of data points used to train the model. If SGD overfits the training data in a number of iterations, it is still guaranteed to generalize because that training subset is so small that overfitting would not be critical. Of course, those who would like a formal proof of what has been claimed thus far, need to read the paper, which might be a bit challenging but definitely interesting.


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