Bridging the Gap between Constant Step Size Stochastic Gradient Descent and Markov Chains

We consider the minimization of an objective function given access to unbiased estimates of its gradient through stochastic gradient descent (SGD) with constant step-size. While the detailed analysis was only performed for quadratic functions, we provide an explicit asymptotic expansion of the moments of the averaged SGD iterates that outlines the dependence on initial conditions, the effect of noise and the step-size, as well as the lack of convergence in the general (non-quadratic) case. For this analysis, we bring tools from Markov chain theory into the analysis of stochastic gradient. We then show that Richardson-Romberg extrapolation may be used to get closer to the global optimum and we show empirical improvements of the new extrapolation scheme

Bidirectional compression in heterogeneous settings for distributed or federated learning with partial participation: tight convergence guarantees

We introduce a framework - Artemis - to tackle the problem of learning in a distributed or federated setting with communication constraints and device partial Several workers (randomly sampled) perform the optimization process using a central server to aggregate their computations. To alleviate the communication cost, Artemis allows to compresses the information sent in both directions (from the workers to the server and conversely) combined with a memory It improves on existing algorithms that only consider unidirectional compression (to the server), or use very strong assumptions on the compression operator, and often do not take into account devices partial participation. We provide fast rates of convergence (linear up to a threshold) under weak assumptions on the stochastic gradients (noise's variance bounded only at optimal point) in non-i.i.d. setting, highlight the impact of memory for unidirectional and bidirectional compression, analyze Polyak-Ruppert averaging. We use convergence in distribution to obtain a lower bound of the asymptotic variance that highlights practical limits of compression. And we provide experimental results to demonstrate the validity of our analysis.Comment: 56 pages, 4 theorems, 1 algorithm, code source on GitHu

Harder, Better, Faster, Stronger Convergence Rates for Least-Squares Regression

We consider the optimization of a quadratic objective function whose gradients are only accessible through a stochastic oracle that returns the gradient at any given point plus a zero-mean finite variance random error. We present the first algorithm that achieves jointly the optimal prediction error rates for least-squares regression, both in terms of forgetting of initial conditions in O(1/n 2), and in terms of dependence on the noise and dimension d of the problem, as O(d/n). Our new algorithm is based on averaged accelerated regularized gradient descent, and may also be analyzed through finer assumptions on initial conditions and the Hessian matrix, leading to dimension-free quantities that may still be small while the " optimal " terms above are large. In order to characterize the tightness of these new bounds, we consider an application to non-parametric regression and use the known lower bounds on the statistical performance (without computational limits), which happen to match our bounds obtained from a single pass on the data and thus show optimality of our algorithm in a wide variety of particular trade-offs between bias and variance

Compressed and distributed least-squares regression: convergence rates with applications to Federated Learning

In this paper, we investigate the impact of compression on stochastic gradient algorithms for machine learning, a technique widely used in distributed and federated learning. We underline differences in terms of convergence rates between several unbiased compression operators, that all satisfy the same condition on their variance, thus going beyond the classical worst-case analysis. To do so, we focus on the case of least-squares regression (LSR) and analyze a general stochastic approximation algorithm for minimizing quadratic functions relying on a random field. We consider weak assumptions on the random field, tailored to the analysis (specifically, expected H\"older regularity), and on the noise covariance, enabling the analysis of various randomizing mechanisms, including compression. We then extend our results to the case of federated learning. More formally, we highlight the impact on the convergence of the covariance $\mathfrak{C}_{\mathrm{ania}}$ of the additive noise induced by the algorithm. We demonstrate despite the non-regularity of the stochastic field, that the limit variance term scales with $\mathrm{Tr}(\mathfrak{C}_{\mathrm{ania}} H^{-1})/K$ (where $H$ is the Hessian of the optimization problem and $K$ the number of iterations) generalizing the rate for the vanilla LSR case where it is $\sigma^2 \mathrm{Tr}(H H^{-1}) / K = \sigma^2 d / K$ (Bach and Moulines, 2013). Then, we analyze the dependency of $\mathfrak{C}_{\mathrm{ania}}$ on the compression strategy and ultimately its impact on convergence, first in the centralized case, then in two heterogeneous FL frameworks

Provable non-accelerations of the heavy-ball method

In this work, we show that the heavy-ball (\HB) method provably does not reach an accelerated convergence rate on smooth strongly convex problems. More specifically, we show that for any condition number and any choice of algorithmic parameters, either the worst-case convergence rate of \HB on the class of $L$-smooth and $\mu$-strongly convex \textit{quadratic} functions is not accelerated (that is, slower than $1 - \mathcal{O}(\kappa)$), or there exists an $L$-smooth $\mu$-strongly convex function and an initialization such that the method does not converge. To the best of our knowledge, this result closes a simple yet open question on one of the most used and iconic first-order optimization technique. Our approach builds on finding functions for which \HB fails to converge and instead cycles over finitely many iterates. We analytically describe all parametrizations of \HB that exhibit this cycling behavior on a particular cycle shape, whose choice is supported by a systematic and constructive approach to the study of cycling behaviors of first-order methods. We show the robustness of our results to perturbations of the cycle, and extend them to class of functions that also satisfy higher-order regularity conditions

On Convergence-Diagnostic based Step Sizes for Stochastic Gradient Descent

Constant step-size Stochastic Gradient Descent exhibits two phases: a transient phase during which iterates make fast progress towards the optimum, followed by a stationary phase during which iterates oscillate around the optimal point. In this paper, we show that efficiently detecting this transition and appropriately decreasing the step size can lead to fast convergence rates. We analyse the classical statistical test proposed by Pflug (1983), based on the inner product between consecutive stochastic gradients. Even in the simple case where the objective function is quadratic we show that this test cannot lead to an adequate convergence diagnostic. We then propose a novel and simple statistical procedure that accurately detects stationarity and we provide experimental results showing state-of-the-art performance on synthetic and real-world datasets

Non-parametric Stochastic Approximation with Large Step sizes

We consider the random-design least-squares regression problem within the reproducing kernel Hilbert space (RKHS) framework. Given a stream of independent and identically distributed input/output data, we aim to learn a regression function within an RKHS $\mathcal{H}$, even if the optimal predictor (i.e., the conditional expectation) is not in $\mathcal{H}$. In a stochastic approximation framework where the estimator is updated after each observation, we show that the averaged unregularized least-mean-square algorithm (a form of stochastic gradient), given a sufficient large step-size, attains optimal rates of convergence for a variety of regimes for the smoothnesses of the optimal prediction function and the functions in $\mathcal{H}$

Proving Linear Mode Connectivity of Neural Networks via Optimal Transport

The energy landscape of high-dimensional non-convex optimization problems is crucial to understanding the effectiveness of modern deep neural network architectures. Recent works have experimentally shown that two different solutions found after two runs of a stochastic training are often connected by very simple continuous paths (e.g., linear) modulo a permutation of the weights. In this paper, we provide a framework theoretically explaining this empirical observation. Based on convergence rates in Wasserstein distance of empirical measures, we show that, with high probability, two wide enough two-layer neural networks trained with stochastic gradient descent are linearly connected. Additionally, we express upper and lower bounds on the width of each layer of two deep neural networks with independent neuron weights to be linearly connected. Finally, we empirically demonstrate the validity of our approach by showing how the dimension of the support of the weight distribution of neurons, which dictates Wasserstein convergence rates is correlated with linear mode connectivity

Context Mover's Distance & Barycenters: Optimal Transport of Contexts for Building Representations

We present a framework for building unsupervised representations of entities and their compositions, where each entity is viewed as a probability distribution rather than a vector embedding. In particular, this distribution is supported over the contexts which co-occur with the entity and are embedded in a suitable low-dimensional space. This enables us to consider representation learning from the perspective of Optimal Transport and take advantage of its tools such as Wasserstein distance and barycenters. We elaborate how the method can be applied for obtaining unsupervised representations of text and illustrate the performance (quantitatively as well as qualitatively) on tasks such as measuring sentence similarity, word entailment and similarity, where we empirically observe significant gains (e.g., 4.1% relative improvement over Sent2vec, GenSen). The key benefits of the proposed approach include: (a) capturing uncertainty and polysemy via modeling the entities as distributions, (b) utilizing the underlying geometry of the particular task (with the ground cost), (c) simultaneously providing interpretability with the notion of optimal transport between contexts and (d) easy applicability on top of existing point embedding methods. The code, as well as prebuilt histograms, are available under https://github.com/context-mover/.Comment: AISTATS 2020. Also, accepted previously at ICLR 2019 DeepGenStruct Worksho