Ogaltsov, Aleksandr
[Verfasser:in];
Dvinskikh, Darina
[Verfasser:in];
Dvurechensky, Pavel
[Verfasser:in];
Gasniko, Alexander
[Verfasser:in];
Spokojnyj, Vladimir G.
[Verfasser:in]
;
Weierstraß-Institut für Angewandte Analysis und Stochastik
Adaptive gradient descent for convex and non-convex stochastic optimization
Beschreibung:
In this paper we propose several adaptive gradient methods for stochastic optimization. Our methods are based on Armijo-type line search and they simultaneously adapt to the unknown Lipschitz constant of the gradient and variance of the stochastic approximation for the gradient. We consider an accelerated gradient descent for convex problems and gradient descent for non-convex problems. In the experiments we demonstrate superiority of our methods to existing adaptive methods, e.g. AdaGrad and Adam.