642 research outputs found
Convergence of Unregularized Online Learning Algorithms
In this paper we study the convergence of online gradient descent algorithms
in reproducing kernel Hilbert spaces (RKHSs) without regularization. We
establish a sufficient condition and a necessary condition for the convergence
of excess generalization errors in expectation. A sufficient condition for the
almost sure convergence is also given. With high probability, we provide
explicit convergence rates of the excess generalization errors for both
averaged iterates and the last iterate, which in turn also imply convergence
rates with probability one. To our best knowledge, this is the first
high-probability convergence rate for the last iterate of online gradient
descent algorithms without strong convexity. Without any boundedness
assumptions on iterates, our results are derived by a novel use of two measures
of the algorithm's one-step progress, respectively by generalization errors and
by distances in RKHSs, where the variances of the involved martingales are
cancelled out by the descent property of the algorithm
Super-Linear Convergence of Dual Augmented-Lagrangian Algorithm for Sparsity Regularized Estimation
We analyze the convergence behaviour of a recently proposed algorithm for
regularized estimation called Dual Augmented Lagrangian (DAL). Our analysis is
based on a new interpretation of DAL as a proximal minimization algorithm. We
theoretically show under some conditions that DAL converges super-linearly in a
non-asymptotic and global sense. Due to a special modelling of sparse
estimation problems in the context of machine learning, the assumptions we make
are milder and more natural than those made in conventional analysis of
augmented Lagrangian algorithms. In addition, the new interpretation enables us
to generalize DAL to wide varieties of sparse estimation problems. We
experimentally confirm our analysis in a large scale -regularized
logistic regression problem and extensively compare the efficiency of DAL
algorithm to previously proposed algorithms on both synthetic and benchmark
datasets.Comment: 51 pages, 9 figure
Convergence of Online Mirror Descent
In this paper we consider online mirror descent (OMD) algorithms, a class of
scalable online learning algorithms exploiting data geometric structures
through mirror maps. Necessary and sufficient conditions are presented in terms
of the step size sequence for the convergence of an OMD
algorithm with respect to the expected Bregman distance induced by the mirror
map. The condition is in the case of positive variances. It is
reduced to in the case of zero variances for
which the linear convergence may be achieved by taking a constant step size
sequence. A sufficient condition on the almost sure convergence is also given.
We establish tight error bounds under mild conditions on the mirror map, the
loss function, and the regularizer. Our results are achieved by some novel
analysis on the one-step progress of the OMD algorithm using smoothness and
strong convexity of the mirror map and the loss function.Comment: Published in Applied and Computational Harmonic Analysis, 202
Sparse Bilinear Logistic Regression
In this paper, we introduce the concept of sparse bilinear logistic
regression for decision problems involving explanatory variables that are
two-dimensional matrices. Such problems are common in computer vision,
brain-computer interfaces, style/content factorization, and parallel factor
analysis. The underlying optimization problem is bi-convex; we study its
solution and develop an efficient algorithm based on block coordinate descent.
We provide a theoretical guarantee for global convergence and estimate the
asymptotical convergence rate using the Kurdyka-{\L}ojasiewicz inequality. A
range of experiments with simulated and real data demonstrate that sparse
bilinear logistic regression outperforms current techniques in several
important applications.Comment: 27 pages, 5 figure
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