Lecture

Stochastic Gradient Descent: Optimization and Convergence Analysis

In course

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Description

This lecture covers the optimization method of Stochastic Gradient Descent (SGD) for minimizing non-strongly convex functions. It explains the convergence rate of SGD iterates and the impact of step size on convergence. The lecture also discusses the modified Huber loss function and its computation, along with the optimal step size for running SGD to minimize this loss. Various convergence behaviors are compared and explained, shedding light on the differences observed in different scenarios.

Instructor

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Official source

https://mediaspace.epfl.ch/media/0_bvsxeu32

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Mathematics

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