SGDLibrary: A MATLAB library for stochastic gradient descent algorithms

We consider the problem of finding the minimizer of a function $f: \mathbb{R}^d \rightarrow \mathbb{R}$ of the form $\min f(w) = \frac{1}{n}\sum_{i}f_i({w})$. This problem has been studied intensively in recent years in machine learning research field. One typical but promising approach for large-scale data is stochastic optimization algorithm. SGDLibrary is a flexible, extensible and efficient pure-Matlab library of a collection of stochastic optimization algorithms. The purpose of the library is to provide researchers and implementers a comprehensive evaluation environment of those algorithms on various machine learning problems.