Minibatch Blockcoordinate based Stochastic Average Adjusted Gradient Methods to Solve Big Data Problems
[edit]
Proceedings of the Ninth Asian Conference on Machine Learning, PMLR 77:4964, 2017.
Abstract
Big Data problems in Machine Learning have large number of data points or large number of features, or both, which make training of models difficult because of high computational complexities of single iteration of learning algorithms. To solve such learning problems, Stochastic Approximation offers an optimization approach to make complexity of each iteration independent of number of data points by taking only one data point or minibatch of data points during each iteration and thereby helping to solve problems with large number of data points. Similarly, Coordinate Descent offers another optimization approach to make iteration complexity independent of the number of features/coordinates/variables by taking only one feature or block of features, instead of all, during an iteration and thereby helping to solve problems with large number of features. In this paper, an optimization framework, namely, Batch Block Optimization Framework has been developed to solve big data problems using the best of Stochastic Approximation as well as the best of Coordinate Descent approaches, independent of any solver. This framework is used to solve strongly convex and smooth empirical risk minimization problem with gradient descent (as a solver) and two novel Stochastic Average Adjusted Gradient methods have been proposed to reduce variance in minibatch and blockcoordinate setting of the developed framework. Theoretical analysis prove linear convergence of the proposed methods and empirical results with bench marked datasets prove the superiority of proposed methods against existing methods.
Related Material


