What makes untrained deep neural networks (DNNs) different from the trained performant ones? By zooming into the weights in well-trained DNNs, we found that it is the location of weights that holds most of the information encoded by the training. Motivated by this observation, we hypothesized that weights in DNNs trained using stochastic gradient-based methods can be separated into two dimensions: the location of weights, and their exact values. To assess our hypothesis, we propose a novel method called lookahead permutation (LaPerm) to train DNNs by reconnecting the weights. We empirically demonstrate LaPerm's versatility while producing extensive evidence to support our hypothesis: when the initial weights are random and dense, our method demonstrates speed and performance similar to or better than that of regular optimizers, e.g., Adam.

We analyze the projected Langevin Monte Carlo (LMC) algorithm, a close cousin of projected Stochastic Gradient Descent (SGD). We show that LMC allows to sample in polynomial time from a posterior distribution restricted to a convex body and with concave log-likelihood. This gives the first Markov chain to sample from a log-concave distribution with a first-order oracle, as the existing chains with provable guarantees (lattice walk, ball walk and hit-and-run) require a zeroth-order oracle. Our proof uses elementary concepts from stochastic calculus which could be useful more generally to understand SGD and its variants.

We study to what extent may stochastic gradient descent (SGD) be understood as a conventional'' learning rule that achieves generalization performance by obtaining a good fit to training data. We consider the fundamental stochastic convex optimization framework, where (one pass, \textit{without} -replacement) SGD is classically known to minimize the population risk at rate O(1/\sqrt n), and prove that, surprisingly, there exist problem instances where the SGD solution exhibits both empirical risk and generalization gap of \Omega(1) . Consequently, it turns out that SGD is not algorithmically stable in \textit{any} sense, and its generalization ability cannot be explained by uniform convergence or any other currently known generalization bound technique for that matter (other than that of its classical analysis). We then continue to analyze the closely related \textit{with} -replacement SGD, for which we show that an analogous phenomenon does not occur and prove that its population risk does in fact converge at the optimal rate. Finally, we interpret our main results in the context of without-replacement SGD for finite-sum convex optimization problems, and derive upper and lower bounds for the multi-epoch regime that significantly improve upon previously known results.

Recent advances in Bayesian learning with large-scale data have witnessed emergence of stochastic gradient MCMC algorithms (SG-MCMC), such as stochastic gradient Langevin dynamics (SGLD), stochastic gradient Hamiltonian MCMC (SGHMC), and the stochastic gradient thermostat. While finite-time convergence properties of the SGLD with a 1st-order Euler integrator have recently been studied, corresponding theory for general SG-MCMCs has not been explored. In this paper we consider general SG-MCMCs with high-order integrators, and develop theory to analyze finite-time convergence properties and their asymptotic invariant measures. Our theoretical results show faster convergence rates and more accurate invariant measures for SG-MCMCs with higher-order integrators. For example, with the proposed efficient 2nd-order symmetric splitting integrator, the mean square error (MSE) of the posterior average for the SGHMC achieves an optimal convergence rate of L {-4/5} at L iterations, compared to L {-2/3} for the SGHMC and SGLD with 1st-order Euler integrators.

We focus on the stochastic setting, where we can only access an unbiased stochastic gradient estimate of f at each iteration. This formulation includes many machine learning applications as special cases such as robust optimization and adversary training. The most popular algorithm to solve this problem is stochastic gradient decent ascent, which requires \mathcal O(\kappa 3\varepsilon {-4}) stochastic gradient evaluations, where \kappa is the condition number. In this paper, we propose a novel method called Stochastic Recursive gradiEnt Descent Ascent (SREDA), which estimates gradients more efficiently using variance reduction. This method achieves the best known stochastic gradient complexity of {\mathcal O}(\kappa 3\varepsilon {-3}), and its dependency on \varepsilon is optimal for this problem.

In this paper we analyze the behaviour of the stochastic gradient descent (SGD), a widely used method in supervised learning for optimizing neural network weights via a minimization of non-convex loss functions. Since the pioneering work of E, Li and Tai (2017), the underlying structure of such processes can be understood via parabolic PDEs of Fokker-Planck type, which are at the core of our analysis. Even if Fokker-Planck equations have a long history and a extensive literature, almost nothing is known when the potential is non-convex or when the diffusion matrix is degenerate, and this is the main difficulty that we face in our analysis. We identify two different regimes: in the initial phase of SGD, the loss function drives the weights to concentrate around the nearest local minimum. We refer to this phase as the drift regime and we provide quantitative estimates on this concentration phenomenon. Next, we introduce the diffusion regime, where stochastic fluctuations help the learning process to escape suboptimal local minima. We analyze the Mean Exit Time (MET) and prove upper and lower bounds of the MET. Finally, we address the asymptotic convergence of SGD, for a non-convex cost function and a degenerate diffusion matrix, that do not allow to use the standard approaches, and require new techniques. For this purpose, we exploit two different methods: duality and entropy methods. We provide new results about the dynamics and effectiveness of SGD, offering a deep connection between stochastic optimization and PDE theory, and some answers and insights to basic questions in the Machine Learning processes: How long does SGD take to escape from a bad minimum? Do neural network parameters converge using SGD? How do parameters evolve in the first stage of training with SGD?

We present a new perspective on online learning that we refer to as gradient equilibrium: a sequence of iterates achieves gradient equilibrium if the average of gradients of losses along the sequence converges to zero. In general, this condition is not implied by nor implies sublinear regret. It turns out that gradient equilibrium is achievable by standard online learning methods such as gradient descent and mirror descent with constant step sizes (rather than decaying step sizes, as is usually required for no regret). Further, as we show through examples, gradient equilibrium translates into an interpretable and meaningful property in online prediction problems spanning regression, classification, quantile estimation, and others. Notably, we show that the gradient equilibrium framework can be used to develop a debiasing scheme for black-box predictions under arbitrary distribution shift, based on simple post hoc online descent updates. We also show that post hoc gradient updates can be used to calibrate predicted quantiles under distribution shift, and that the framework leads to unbiased Elo scores for pairwise preference prediction.

In variational inference (VI), an approximation of the posterior distribution is selected from a family of distributions through numerical optimization. With the most common variational objective function, known as the evidence lower bound (ELBO), only convergence to a local optimum can be guaranteed. In this work, we instead establish the global convergence of a particular VI method. This VI method, which may be considered an instance of neural posterior estimation (NPE), minimizes an expectation of the inclusive (forward) KL divergence to fit a variational distribution that is parameterized by a neural network. Our convergence result relies on the neural tangent kernel (NTK) to characterize the gradient dynamics that arise from considering the variational objective in function space. In the asymptotic regime of a fixed, positive-definite neural tangent kernel, we establish conditions under which the variational objective admits a unique solution in a reproducing kernel Hilbert space (RKHS). Then, we show that the gradient descent dynamics in function space converge to this unique function. In ablation studies and practical problems, we demonstrate that our results explain the behavior of NPE in non-asymptotic finite-neuron settings, and show that NPE outperforms ELBO-based optimization, which often converges to shallow local optima.

The stochastic gradient Langevin Dynamics is one of the most fundamental algorithms to solve sampling problems and non-convex optimization appearing in several machine learning applications. Especially, its variance reduced versions have nowadays gained particular attention. In this paper, we study two variants of this kind, namely, the Stochastic Variance Reduced Gradient Langevin Dynamics and the Stochastic Recursive Gradient Langevin Dynamics. We prove their convergence to the objective distribution in terms of KL-divergence under the sole assumptions of smoothness and Log-Sobolev inequality which are weaker conditions than those used in prior works for these algorithms. With the batch size and the inner loop length set to \sqrt{n}, the gradient complexity to achieve an \epsilon -precision is \tilde{O}((n dn {1/2}\epsilon {-1})\gamma 2 L 2\alpha {-2}), which is an improvement from any previous analyses.

Stochastic gradient descent (SGD) is a cornerstone of machine learning. When the number N of data items is large, SGD relies on constructing an unbiased estimator of the gradient of the empirical risk using a small subset of the original dataset, called a minibatch. Default minibatch construction involves uniformly sampling a subset of the desired size, but alternatives have been explored for variance reduction. In particular, experimental evidence suggests drawing minibatches from determinantal point processes (DPPs), tractable distributions over minibatches that favour diversity among selected items. However, like in recent work on DPPs for coresets, providing a systematic and principled understanding of how and why DPPs help has been difficult.