We investigate scaling laws for stochastic momentum algorithms with small batch on the power law random features model, parameterized by data complexity, target complexity, and model size. When trained with a stochastic momentum algorithm, our analysis reveals four distinct loss curve shapes determined by varying data-target complexities. While traditional stochastic gradient descent with momentum (SGD-M) yields identical scaling law exponents to SGD, dimension-adapted Nesterov acceleration (DANA) improves these exponents by scaling momentum hyperparameters based on model size and data complexity. This outscaling phenomenon, which also improves compute-optimal scaling behavior, is achieved by DANA across a broad range of data and target complexities, while traditional methods fall short. Extensive experiments on high-dimensional synthetic quadratics validate our theoretical predictions and large-scale text experiments with LSTMs show DANA's improved loss exponents over SGD hold in a practical setting.

In the context of smooth stochastic optimization with first order methods, we introduce the stability ratio of gradient estimates, as a measure of local relative noise level, from zero for pure noise to one for negligible noise. We show that a schedulefree variant (Stab-SGD) of stochastic gradient descent obtained by just shrinking the learning rate by the stability ratio achieves real adaptivity to noise levels (i.e.

We explore the connection between outlier-robust high-dimensional statistics and non-convex optimization in the presence of sparsity constraints, with a focus on the fundamental tasks of robust sparse mean estimation and robust sparse PCA. We develop novel and simple optimization formulations for these problems such that any approximate stationary point of the associated optimization problem yields a near-optimal solution for the underlying robust estimation task. As a corollary, we obtain that any first-order method that efficiently converges to stationarity yields an efficient algorithm for these tasks.1 The obtained algorithms are simple, practical, and succeed under broader distributional assumptions compared to prior work.

Estimation and inference on causal parameters is typically reduced to a generalized method of moments problem, which involves auxiliary functions that correspond to solutions to a regression or classification problem. Recent line of work on debiased machine learning shows how one can use generic machine learning estimators for these auxiliary problems, while maintaining asymptotic normality and root-n consistency of the target parameter of interest, while only requiring mean-squared-error guarantees from the auxiliary estimation algorithms. The literature typically requires that these auxiliary problems are fitted on a separate sample or in a cross-fitting manner. We show that when these auxiliary estimation algorithms satisfy natural leave-one-out stability properties, then sample splitting is not required. This allows for sample re-use, which can be beneficial in moderately sized sample regimes. For instance, we show that the stability properties that we propose are satisfied for ensemble bagged estimators, built via sub-sampling without replacement, a popular technique in machine learning practice.

Sequential data collection has emerged as a widely adopted technique for enhancing the efficiency of data gathering processes. Despite its advantages, such data collection mechanism often introduces complexities to the statistical inference procedure.

Each block represents atime-invariant iterativeprocess as the first layer in thei-th block,xi(1), is unrolled into a pattern-dependent number,Ki, of processing stages, using weight matricesAi andBi. The skip connections from the input,ui, to all layers in blockimake the process nonautonomous. Blocks can be chained together (each block modeling adifferent latent space) by passing final latentrepresentation,xi(Ki),ofblockiastheinputtoblocki+1.

This progress has led to a revival of robust statistics from an algorithmic perspective (see, e.g., [DK19, DKK+21] for surveys on the topic).