Concept

Stochastic gradient descent

Summary
Stochastic gradient descent (often abbreviated SGD) is an iterative method for optimizing an objective function with suitable smoothness properties (e.g. differentiable or subdifferentiable). It can be regarded as a stochastic approximation of gradient descent optimization, since it replaces the actual gradient (calculated from the entire data set) by an estimate thereof (calculated from a randomly selected subset of the data). Especially in high-dimensional optimization problems this reduces the very high computational burden, achieving faster iterations in exchange for a lower convergence rate. While the basic idea behind stochastic approximation can be traced back to the Robbins–Monro algorithm of the 1950s, stochastic gradient descent has become an important optimization method in machine learning. Background M-estimation Estimating equation Both statistical estimation and machine learning consider the problem of minimizing an objective function that has the form of a su
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