StochasticRank: Global Optimization of Scale-Free Discrete Functions

ICML 2020  ·  Aleksei Ustimenko, Liudmila Prokhorenkova ·

In this paper, we introduce a powerful and efficient framework for direct optimization of ranking metrics. The problem is ill-posed due to the discrete structure of the loss, and to deal with that, we introduce two important techniques: stochastic smoothing and novel gradient estimate based on partial integration... We show that classic smoothing approaches may introduce bias and present a universal solution for a proper debiasing. Importantly, we can guarantee global convergence of our method by adopting a recently proposed Stochastic Gradient Langevin Boosting algorithm. Our algorithm is implemented as a part of the CatBoost gradient boosting library and outperforms the existing approaches on several learning-to-rank datasets. In addition to ranking metrics, our framework applies to any scale-free discrete loss function. read more

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