Stefan Perko

Stefan Perko

Stochastic Gradient Descent (SGD) and its variants are almost universally used to train neural networks and to fit a variety of other parametric models. An important hyperparameter in this context is the batch size, which determines how many samples are processed before an update of the parameters occurs. Previous studies have demonstrated the benefits of using variable batch sizes. In this work, we will theoretically derive optimal batch size schedules for SGD and similar algorithms, up to an error that is quadratic in the learning rate. To achieve this, we approximate the discrete process of parameter updates using a family of stochastic differential equations indexed by the learning rate. To better handle the state-dependent diffusion coefficient, we further expand the solution of this family into a series with respect to the learning rate. Using this setup, we derive a continuous-time optimal batch size schedule for a large family of diffusion coefficients and then apply the results in the setting of linear regression.

Stefan Perko

Gradient optimization algorithms using epochs, that is those based on stochastic gradient descent without replacement (SGDo), are predominantly used to train machine learning models in practice. However, the mathematical theory of SGDo and related algorithms remain underexplored compared to their "with replacement" and "one-pass" counterparts. In this article, we propose a stochastic, continuous-time approximation to SGDo with additive noise based on a Young differential equation driven by a stochastic process we call an "epoched Brownian motion". We show its usefulness by proving the almost sure convergence of the continuous-time approximation for strongly convex objectives and learning rate schedules of the form $u_t = \frac{1}{(1+t)^β}, β\in (0,1)$. Moreover, we compute an upper bound on the asymptotic rate of almost sure convergence, which is as good or better than previous results for SGDo.