Optimal mini-batch and step sizes for SAGA

31 Jan 2019Nidham GazagnadouRobert M. GowerJoseph Salmon

Recently it has been shown that the step sizes of a family of variance reduced gradient methods called the JacSketch methods depend on the expected smoothness constant. In particular, if this expected smoothness constant could be calculated a priori, then one could safely set much larger step sizes which would result in a much faster convergence rate... (read more)

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