Goto

Collaborating Authors

 Statistical Learning




Supplementary File for " Stochastic Gradient Descent in Correlated Settings: A Study on Gaussian Processes "

Neural Information Processing Systems

The supplementary file is organized as follows: Section 1 restates the assumptions and main theorems on the convergence of parameter iterates and the full gradient; Section 2 is devoted to the proofs of the two main theorems, while Section 3 includes the proofs of supporting lemmas; Section 4 includes additional figures from the numerical study. Under Assumptions 1.1 to 1.3, when m > C for some constant C > 0, we have the following results under two corresponding conditions on s First we present the following lemma, showing that the loss function has a property similar from strong convexity. For the first case discussed in Lemma 2.1, define null g (ฮธ ( k 1) (k 1) ( k 1) (k 1) ( k 1) (k 1) Therefore, combining Lemma 2.1, Lemma 2.2 and (7) leads to the following conclusion. Proof of Theorem 2. We start from bounding null Under this case, we can still apply (15) in Lemma 2.3. The following proof of this claim is very similar to the proof of Lemma 5.2 in [2].



Dual Instrumental Variable Regression

Neural Information Processing Systems

We present a novel algorithm for non-linear instrumental variable (IV) regression, DualIV, which simplifies traditional two-stage methods via a dual formulation. Inspired by problems in stochastic programming, we show that two-stage procedures for non-linear IV regression can be reformulated as a convex-concave saddle-point problem. Our formulation enables us to circumvent the first-stage regression which is a potential bottleneck in real-world applications. We develop a simple kernel-based algorithm with an analytic solution based on this formulation. Empirical results show that we are competitive to existing, more complicated algorithms for non-linear instrumental variable regression.