Diagonalisation SGD: Fast & Convergent SGD for Non-Differentiable Models via Reparameterisation and Smoothing

Dominik Wagner, Basim Khajwal, Luke Ong
Proceedings of The 27th International Conference on Artificial Intelligence and Statistics, PMLR 238:1801-1809, 2024.

Abstract

It is well-known that the reparameterisation gradient estimator, which exhibits low variance in practice, is biased for non-differentiable models. This may compromise correctness of gradient-based optimisation methods such as stochastic gradient descent (SGD). We introduce a simple syntactic framework to define non-differentiable functions piecewisely and present a systematic approach to obtain smoothings for which the reparameterisation gradient estimator is unbiased. Our main contribution is a novel variant of SGD, Diagonalisation Stochastic Gradient Descent, which progressively enhances the accuracy of the smoothed approximation during optimisation, and we prove convergence to stationary points of the unsmoothed (original) objective. Our empirical evaluation reveals benefits over the state of the art: our approach is simple, fast, stable and attains orders of magnitude reduction in work-normalised variance.

Cite this Paper

BibTeX
@InProceedings{pmlr-v238-wagner24a, title = { Diagonalisation {SGD}: Fast & Convergent {SGD} for Non-Differentiable Models via Reparameterisation and Smoothing }, author = {Wagner, Dominik and Khajwal, Basim and Ong, Luke}, booktitle = {Proceedings of The 27th International Conference on Artificial Intelligence and Statistics}, pages = {1801--1809}, year = {2024}, editor = {Dasgupta, Sanjoy and Mandt, Stephan and Li, Yingzhen}, volume = {238}, series = {Proceedings of Machine Learning Research}, month = {02--04 May}, publisher = {PMLR}, pdf = {https://proceedings.mlr.press/v238/wagner24a/wagner24a.pdf}, url = {https://proceedings.mlr.press/v238/wagner24a.html}, abstract = { It is well-known that the reparameterisation gradient estimator, which exhibits low variance in practice, is biased for non-differentiable models. This may compromise correctness of gradient-based optimisation methods such as stochastic gradient descent (SGD). We introduce a simple syntactic framework to define non-differentiable functions piecewisely and present a systematic approach to obtain smoothings for which the reparameterisation gradient estimator is unbiased. Our main contribution is a novel variant of SGD, Diagonalisation Stochastic Gradient Descent, which progressively enhances the accuracy of the smoothed approximation during optimisation, and we prove convergence to stationary points of the unsmoothed (original) objective. Our empirical evaluation reveals benefits over the state of the art: our approach is simple, fast, stable and attains orders of magnitude reduction in work-normalised variance. } }
Endnote
%0 Conference Paper %T Diagonalisation SGD: Fast & Convergent SGD for Non-Differentiable Models via Reparameterisation and Smoothing %A Dominik Wagner %A Basim Khajwal %A Luke Ong %B Proceedings of The 27th International Conference on Artificial Intelligence and Statistics %C Proceedings of Machine Learning Research %D 2024 %E Sanjoy Dasgupta %E Stephan Mandt %E Yingzhen Li %F pmlr-v238-wagner24a %I PMLR %P 1801--1809 %U https://proceedings.mlr.press/v238/wagner24a.html %V 238 %X It is well-known that the reparameterisation gradient estimator, which exhibits low variance in practice, is biased for non-differentiable models. This may compromise correctness of gradient-based optimisation methods such as stochastic gradient descent (SGD). We introduce a simple syntactic framework to define non-differentiable functions piecewisely and present a systematic approach to obtain smoothings for which the reparameterisation gradient estimator is unbiased. Our main contribution is a novel variant of SGD, Diagonalisation Stochastic Gradient Descent, which progressively enhances the accuracy of the smoothed approximation during optimisation, and we prove convergence to stationary points of the unsmoothed (original) objective. Our empirical evaluation reveals benefits over the state of the art: our approach is simple, fast, stable and attains orders of magnitude reduction in work-normalised variance.
APA
Wagner, D., Khajwal, B. & Ong, L.. (2024). Diagonalisation SGD: Fast & Convergent SGD for Non-Differentiable Models via Reparameterisation and Smoothing . Proceedings of The 27th International Conference on Artificial Intelligence and Statistics, in Proceedings of Machine Learning Research 238:1801-1809 Available from https://proceedings.mlr.press/v238/wagner24a.html.

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