Stochastic Optimization of Smooth Loss

30 Nov 2013  ·  Rong Jin ·

In this paper, we first prove a high probability bound rather than an expectation bound for stochastic optimization with smooth loss. Furthermore, the existing analysis requires the knowledge of optimal classifier for tuning the step size in order to achieve the desired bound. However, this information is usually not accessible in advanced. We also propose a strategy to address the limitation.

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