A Full Adagrad algorithm with O(Nd) operations - Archive ouverte HAL
Pré-Publication, Document De Travail Année : 2024

A Full Adagrad algorithm with O(Nd) operations

Résumé

A novel approach is given to overcome the computational challenges of the full-matrix Adaptive Gradient algorithm (Full AdaGrad) in stochastic optimization. By developing a recursive method that estimates the inverse of the square root of the covariance of the gradient, alongside a streaming variant for parameter updates, the study offers efficient and practical algorithms for large-scale applications. This innovative strategy significantly reduces the complexity and resource demands typically associated with full-matrix methods, enabling more effective optimization processes. Moreover, the convergence rates of the proposed estimators and their asymptotic efficiency are given. Their effectiveness is demonstrated through numerical studies.
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Dates et versions

hal-04560729 , version 1 (03-05-2024)

Identifiants

  • HAL Id : hal-04560729 , version 1

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Antoine Godichon-Baggioni, Wei Lu, Bruno Portier. A Full Adagrad algorithm with O(Nd) operations. 2024. ⟨hal-04560729⟩
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