The forty-ninth UQSay seminar on UQ, DACE and related topics will take place online on Thursday afternoon, September 29, 2022.
2–3 PM — Jonas Latz (Heriot-Watt University, Edinburgh) — [slides]
Stochastic gradient descent in continuous time: discrete and continuous data
Optimisation problems with discrete and continuous data appear in statistical estimation, machine learning, functional data science, robust optimal control, and variational inference. The "full" target function in such an optimisation problem is given by the integral over a family of parameterised target functions with respect to a discrete or continuous probability measure. Such problems can often be solved by stochastic optimisation methods: performing optimisation steps with respect to the parameterised target function with randomly switched parameter values. In this talk, we discuss a continuous-time variant of the stochastic gradient descent algorithm. This so-called stochastic gradient process couples a gradient flow minimising a parameterised target function and a continuous-time 'index' process which determines the parameter.
We first briefly introduce the stochastic gradient processes for finite, discrete data which uses pure jump index processes. Then, we move on to continuous data. Here, we allow for very general index processes: reflected diffusions, pure jump processes, as well as other Lévy processes on compact spaces. Thus, we study multiple sampling patterns for the continuous data space. We show that the stochastic gradient process can approximate the gradient flow minimising the full target function at any accuracy. Moreover, we give convexity assumptions under which the stochastic gradient process with constant learning rate is geometrically ergodic. In the same setting, we also obtain ergodicity and convergence to the minimiser of the full target function when the learning rate decreases over time sufficiently slowly.
Joint work with Kexin Jin, Chenguang Liu & Carola-Bibiane Schönlieb.
Organizing committee: Pierre Barbillon (MIA-Paris), Julien Bect (L2S), Nicolas Bousquet (EDF R&D), Amélie Fau (LMPS), Filippo Gatti (LMPS), Bertrand Iooss (EDF R&D), Alexandre Janon (LMO), Sidonie Lefebvre (ONERA), Didier Lucor (LISN), Emmanuel Vazquez (L2S).
Coordinators: Julien Bect (L2S) & Sidonie Lefebvre (ONERA)
Practical details: the seminar will be held online using Microsoft Teams.
If you want to attend this seminar (or any of the forthcoming online UQSay seminars), and if you do not already have access to the UQSay group on Teams, simply send an email and you will be invited. Please specify which email address the invitation must be sent to (this has to be the address associated with your Teams account).
You will find the link to the seminar on the "General" UQSay channel on Teams, approximately 15 minutes before the beginning.
The technical side of things: you can use Teams either directly from your web browser or using the "fat client", which is available for most platforms (Windows, Linux, Mac, Android & iOS). We strongly recommend the latter option whenever possible. Please give it a try before the seminar to anticipate potential problems.