Online Learning Under A Separable Stochastic Approximation Framework
This work addresses the challenge of efficient online learning for machine learning practitioners by offering an incremental improvement in optimization algorithms for separable models.
The paper tackles the problem of online learning for models with separable parameters by proposing an algorithm that updates linear parameters with recursive least squares and nonlinear parameters with stochastic gradient descent, accelerating convergence and improving robustness compared to other methods, with numerical experiments showing significant speed-ups and better performance.
We propose an online learning algorithm for a class of machine learning models under a separable stochastic approximation framework. The essence of our idea lies in the observation that certain parameters in the models are easier to optimize than others. In this paper, we focus on models where some parameters have a linear nature, which is common in machine learning. In one routine of the proposed algorithm, the linear parameters are updated by the recursive least squares (RLS) algorithm, which is equivalent to a stochastic Newton method; then, based on the updated linear parameters, the nonlinear parameters are updated by the stochastic gradient method (SGD). The proposed algorithm can be understood as a stochastic approximation version of block coordinate gradient descent approach in which one part of the parameters is updated by a second-order SGD method while the other part is updated by a first-order SGD. Global convergence of the proposed online algorithm for non-convex cases is established in terms of the expected violation of a first-order optimality condition. Numerical experiments show that the proposed method accelerates convergence significantly and produces more robust training and test performance when compared to other popular learning algorithms. Moreover, our algorithm is less sensitive to the learning rate and outperforms the recently proposed slimTrain algorithm (Newman et al., 2022). The code has been uploaded to GitHub for validation.