This paper proposes an asymptotic theory for online inference of the stochastic gradient descent (SGD) iterates with dropout regularization in linear regression. Specifically, we establish the geometric-moment contraction (GMC) for constant step-size SGD dropout iterates to show the existence of a unique stationary distribution of the dropout recursive function. By the GMC property, we provide quenched central limit theorems (CLT) for the difference between dropout and $\ell^2$-regularized iterates, regardless of initialization. The CLT for the difference between the Ruppert-Polyak averaged SGD (ASGD) with dropout and $\ell^2$-regularized iterates is also presented. Based on these asymptotic normality results, we further introduce an online estimator for the long-run covariance matrix of ASGD dropout to facilitate inference in a recursive manner with efficiency in computational time and memory. The numerical experiments demonstrate that for sufficiently large samples, the proposed confidence intervals for ASGD with dropout nearly achieve the nominal coverage probability.

A Quantum Natural Gradient (QNG) algorithm for optimization of variational quantum circuits has been proposed recently. In this study, we employ the Langevin equation with a QNG stochastic force to demonstrate that its discrete-time solution gives a generalized form of the above-specified algorithm, which we call Momentum-QNG. Similar to other optimization algorithms with the momentum term, such as the Stochastic Gradient Descent with momentum, RMSProp with momentum and Adam, Momentum-QNG is more effective to escape local minima and plateaus in the variational parameter space and, therefore, achieves a better convergence behavior compared to the basic QNG. Our open-source code is available at https://github.com/borbysh/Momentum-QNG

The performance of the standard Online Robust Principal Component Analysis (OR-PCA) technique depends on the optimum tuning of the explicit regularizers and this tuning is dataset sensitive. We aim to remove the dependency on these tuning parameters by using implicit regularization. We propose to use the implicit regularization effect of various modified gradient descents to make OR-PCA tuning free. Our method incorporates three different versions of modified gradient descent that separately but naturally encourage sparsity and low-rank structures in the data. The proposed method performs comparable or better than the tuned OR-PCA for both simulated and real-world datasets. Tuning-free ORPCA makes it more scalable for large datasets since we do not require dataset-dependent parameter tuning.

We study a continuous-time approximation of the stochastic gradient descent process for minimizing the expected loss in learning problems. The main results establish general sufficient conditions for the convergence, extending the results of Chatterjee (2022) established for (nonstochastic) gradient descent. We show how the main result can be applied to the case of overparametrized linear neural network training.

Gradient descent (GD) and stochastic gradient descent (SGD) have been widely used in a large number of application domains. Therefore, understanding the dynamics of GD and improving its convergence speed is still of great importance. This paper carefully analyzes the dynamics of GD based on the terminal attractor at different stages of its gradient flow. On the basis of the terminal sliding mode theory and the terminal attractor theory, four adaptive learning rates are designed. Their performances are investigated in light of a detailed theoretical investigation, and the running times of the learning procedures are evaluated and compared. The total times of their learning processes are also studied in detail. To evaluate their effectiveness, various simulation results are investigated on a function approximation problem and an image classification problem.

Adaptive optimizers have emerged as powerful tools in deep learning, dynamically adjusting the learning rate based on iterative gradients. These adaptive methods have significantly succeeded in various deep learning tasks, outperforming stochastic gradient descent (SGD). However, although AdaGrad is a cornerstone adaptive optimizer, its theoretical analysis is inadequate in addressing asymptotic convergence and non-asymptotic convergence rates on non-convex optimization. This study aims to provide a comprehensive analysis and complete picture of AdaGrad. We first introduce a novel stopping time technique from probabilistic theory to establish stability for the norm version of AdaGrad under milder conditions. We further derive two forms of asymptotic convergence: almost sure and mean-square. Furthermore, we demonstrate the near-optimal non-asymptotic convergence rate measured by the average-squared gradients in expectation, which is rarely explored and stronger than the existing high-probability results, under the mild assumptions. The techniques developed in this work are potentially independent of interest for future research on other adaptive stochastic algorithms.

Federated Learning (FL) is a collaborative machine learning framework that allows multiple users to train models utilizing their local data in a distributed manner. However, considerable statistical heterogeneity in local data across devices often leads to suboptimal model performance compared with independently and identically distributed (IID) data scenarios. In this paper, we introduce DynamicFL, a new FL framework that investigates the trade-offs between global model performance and communication costs for two widely adopted FL methods: Federated Stochastic Gradient Descent (FedSGD) and Federated Averaging (FedAvg). Our approach allocates diverse communication resources to clients based on their data statistical heterogeneity, considering communication resource constraints, and attains substantial performance enhancements compared to uniform communication resource allocation. Notably, our method bridges the gap between FedSGD and FedAvg, providing a flexible framework leveraging communication heterogeneity to address statistical heterogeneity in FL. Through extensive experiments, we demonstrate that DynamicFL surpasses current state-of-the-art methods with up to a 10% increase in model accuracy, demonstrating its adaptability and effectiveness in tackling data statistical heterogeneity challenges.

In this work, we study the robust phase retrieval problem where the task is to recover an unknown signal $\theta^* \in \mathbb{R}^d$ in the presence of potentially arbitrarily corrupted magnitude-only linear measurements. We propose an alternating minimization approach that incorporates an oracle solver for a non-convex optimization problem as a subroutine. Our algorithm guarantees convergence to $\theta^*$ and provides an explicit polynomial dependence of the convergence rate on the fraction of corrupted measurements. We then provide an efficient construction of the aforementioned oracle under a sparse arbitrary outliers model and offer valuable insights into the geometric properties of the loss landscape in phase retrieval with corrupted measurements. Our proposed oracle avoids the need for computationally intensive spectral initialization, using a simple gradient descent algorithm with a constant step size and random initialization instead. Additionally, our overall algorithm achieves nearly linear sample complexity, $\mathcal{O}(d \, \mathrm{polylog}(d))$.

Metric magnitude is a measure of the "size" of point clouds with many desirable geometric properties. It has been adapted to various mathematical contexts and recent work suggests that it can enhance machine learning and optimization algorithms. But its usability is limited due to the computational cost when the dataset is large or when the computation must be carried out repeatedly (e.g. in model training). In this paper, we study the magnitude computation problem, and show efficient ways of approximating it. We show that it can be cast as a convex optimization problem, but not as a submodular optimization. The paper describes two new algorithms - an iterative approximation algorithm that converges fast and is accurate, and a subset selection method that makes the computation even faster. It has been previously proposed that magnitude of model sequences generated during stochastic gradient descent is correlated to generalization gap. Extension of this result using our more scalable algorithms shows that longer sequences in fact bear higher correlations. We also describe new applications of magnitude in machine learning - as an effective regularizer for neural network training, and as a novel clustering criterion.

This book introduces the mathematical foundations and techniques that lead to the development and analysis of many of the algorithms that are used in machine learning. It starts with an introductory chapter that describes notation used throughout the book and serve at a reminder of basic concepts in calculus, linear algebra and probability and also introduces some measure theoretic terminology, which can be used as a reading guide for the sections that use these tools. The introductory chapters also provide background material on matrix analysis and optimization. The latter chapter provides theoretical support to many algorithms that are used in the book, including stochastic gradient descent, proximal methods, etc. After discussing basic concepts for statistical prediction, the book includes an introduction to reproducing kernel theory and Hilbert space techniques, which are used in many places, before addressing the description of various algorithms for supervised statistical learning, including linear methods, support vector machines, decision trees, boosting, or neural networks. The subject then switches to generative methods, starting with a chapter that presents sampling methods and an introduction to the theory of Markov chains. The following chapter describe the theory of graphical models, an introduction to variational methods for models with latent variables, and to deep-learning based generative models. The next chapters focus on unsupervised learning methods, for clustering, factor analysis and manifold learning. The final chapter of the book is theory-oriented and discusses concentration inequalities and generalization bounds.