Accelerated Linear Convergence of Stochastic Momentum Methods in Wasserstein Distances

22 Jan 2019Bugra CanMert GurbuzbalabanLingjiong Zhu

Momentum methods such as Polyak's heavy ball (HB) method, Nesterov's accelerated gradient (AG) as well as accelerated projected gradient (APG) method have been commonly used in machine learning practice, but their performance is quite sensitive to noise in the gradients. We study these methods under a first-order stochastic oracle model where noisy estimates of the gradients are available... (read more)

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