A Julia package for Stochastic Gradient Descent (SGD) and its variants.

With the advent of *Big Data*, *Stochastic Gradient Descent (SGD)* has become increasingly popular in recent years, especially in machine learning and related areas. This package implements the SGD algorithm and its variants under a generic setting to facilitate the use of SGD in practice.

Here is an example that demonstrates the use of this package in solving a ridge regression problem.

This package depends on EmpiricalRisks.jl, which provides the basic components, including *predictors*, *loss functions*, and *regularizers*.

On top of that, we provide a variety of algorithms, including SGD and its variants, and you may choose one that is suitable for your need:

**For streaming settings:**

- [x] Stochastic Gradient Descent
- [ ] Accelerated Stochastic Gradient Descent
- [ ] Stochastic Proximal Gradient Descent

**For distributed settings:**

- [ ] Parallel Alternate Direction Methods of Multipliers (ADMM)
- [ ] ADMM with Variable Splitting

**Learning rate:**

The setting of the *learning rate* has significant impact on the algorithm's behavior. This package allows the learning rate setting to be provided as a function on `t`

as a keyword argument.

The default setting is `t -> 1.0 / (1.0 + t)`

.

**sgd**(rmodel, theta, stream; ...)

Performs stochastic gradient descent to solve a (regularized) risk minimization problem.

| params | descriptions |
| --------- | ------------- |
| `rmodel`

| the risk model, which can be constructed using riskmodel method. |
| `theta`

| The initial guess of the model parameter. |
| `stream`

| The input data stream. (See the *Streams* section below for details) |

This function also accepts keyword arguments:

| params | descriptions |
| ------------ | ------------ |
| `reg`

| the regularizer (default = `ZeroReg()`

, means no regularization). See the documentation on regularizers for details. |
| `lrate`

| the learning rate rule, which should be a function of `t`

(default as mentioned above). |
| `callback`

| the callback function, which will be invoked during iterations. default is `simple_trace`

. See the *Callbacks* section below for detail. |
| `cbinterval`

| the interval of invoking the callback, *i.e.* the function invokes the callback every `cbinterval`

iterations. (default is `0`

, meaning that it never invokes the callback). |

Unlike conventional methods, SGD and its variants look at a single sample or a small batch of samples at each iteration. In other words, data are viewed as a stream of samples or minibatches.

This package provides a variety of ways to construct data streams. Each data stream is essentially an iterator that implements the `start`

, `done`

, and `next`

methods (see here for details of Julia's iteration patterns). Each item from a data stream can be either a sample (as a pair of input and output) or a mini-batch (as a pair of multi-input array and multi-output array).

**Note:** All SGD algorithms in this package support both sample streams and mini-batch streams. At each iteration, the algorithm works on a single item from the stream, which can be either a sample or a mini-batch.

The package provides several methods to construct streams of samples or minibatches.

**sample_seq**(X, Y[, ord])Wrap an input array

`X`

and an output array`Y`

into a stream of individual samples.Each item of the stream is a pair, comprised of an item from

`X`

and a corresponding item from`Y`

. If`X`

is a vector, then each item of`X`

is a scalar, if`X`

is a matrix, then each item of`X`

is a column vector. The same applies to`Y`

.The

`ord`

argument is an instance of`AbstractVector`

that specifies the order in which the samples are scanned. If`ord`

is omitted, it is, by default, set to the natural order, namely,`1:n`

, where`n`

is the number of samples in the data set.**minibatch_seq**(X, Y, bsize[, ord])Wrap an input array

`X`

and an output array`Y`

into a stream of mini-batches of size`bsize`

or smaller.For example, if

`X`

and`Y`

have`28`

samples, by setting`bsize`

to`10`

, we partition the data set into three minibatches, respectively corresponding to the indices`1:10`

,`11:20`

, and`21:28`

.The

`ord`

argument specifies the order in which the mini-batches are used. For example, if`ord`

is set to`[3, 2, 1]`

, it first takes the 3rd batch, then 2nd, and finally 1st. If`ord`

is omitted, it is, by default, set to the natural order, namely,`1:m`

, where`m`

is the number of mini-batches.

The algorithms provided in this package interoperate with the rest of the world through *callbacks*. In particular, it allows a third party (*e.g.* a higher-level script, a user, a GUI, etc) to monitor the progress of the optimization and take proper actions.

Generally, a *callback* is an arbitrary function (or closure) that can be called in the following way:

```
callback(theta, t, n, v)
```

params | descriptions |
---|---|

`theta` |
The current solution. |

`t` |
The number of elapsed iterations. |

`n` |
The number of samples that have been used. |

`v` |
The objective value of the last item, which can be an objective evaluated on a single sample or the total objective value evaluated on the last batch of samples. |

The package already provides some callbacks for simple use:

`simple_trace`

Simply print the optimization trace, including the number of iterations, and the average loss of the last iteration.

This is the default choice for most algorithms.

`gtcompare_trace(theta_g)`

In addition to printing the optimization trace, it also computes and shows the deviation from a given oracle

`theta_g`

.**Note:**`gtcompare_trace`

is a high-level function, and`gtcompare_trace(theta_g)`

produces a callback function.

04/10/2015

13 days ago

78 commits