Direct Acceleration of SAGA using Sampled Negative Momentum
Proceedings of the Twenty-Second International Conference on Artificial Intelligence and Statistics, PMLR 89:1602-1610, 2019.
Variance reduction is a simple and effective technique that accelerates convex (or non-convex) stochastic optimization. Among existing variance reduction methods, SVRG and SAGA adopt unbiased gradient estimators and are the most popular variance reduction methods in recent years. Although various accelerated variants of SVRG (e.g., Katyusha and Acc-Prox-SVRG) have been proposed, the direct acceleration of SAGA still remains unknown. In this paper, we propose a directly accelerated variant of SAGA using a novel Sampled Negative Momentum (SSNM), which achieves the best known oracle complexity for strongly convex problems (with known strong convexity parameter). Consequently, our work fills the void of directly accelerated SAGA.