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Stochastic Conjugate Gradient Algorithm With Variance Reduction.

Publication ,  Journal Article
Jin, X-B; Zhang, X-Y; Huang, K; Geng, G-G
Published in: IEEE transactions on neural networks and learning systems
May 2019

Conjugate gradient (CG) methods are a class of important methods for solving linear equations and nonlinear optimization problems. In this paper, we propose a new stochastic CG algorithm with variance reduction1 and we prove its linear convergence with the Fletcher and Reeves method for strongly convex and smooth functions. We experimentally demonstrate that the CG with variance reduction algorithm converges faster than its counterparts for four learning models, which may be convex, nonconvex or nonsmooth. In addition, its area under the curve performance on six large-scale data sets is comparable to that of the LIBLINEAR solver for the L2 -regularized L2 -loss but with a significant improvement in computational efficiency.1CGVR algorithm is available on github: https://github.com/xbjin/cgvr.

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Published In

IEEE transactions on neural networks and learning systems

DOI

EISSN

2162-2388

ISSN

2162-237X

Publication Date

May 2019

Volume

30

Issue

5

Start / End Page

1360 / 1369

Related Subject Headings

  • Artificial Intelligence & Image Processing
  • 4602 Artificial intelligence
 

Citation

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Jin, X.-B., Zhang, X.-Y., Huang, K., & Geng, G.-G. (2019). Stochastic Conjugate Gradient Algorithm With Variance Reduction. IEEE Transactions on Neural Networks and Learning Systems, 30(5), 1360–1369. https://doi.org/10.1109/tnnls.2018.2868835
Jin, Xiao-Bo, Xu-Yao Zhang, Kaizhu Huang, and Guang-Gang Geng. “Stochastic Conjugate Gradient Algorithm With Variance Reduction.IEEE Transactions on Neural Networks and Learning Systems 30, no. 5 (May 2019): 1360–69. https://doi.org/10.1109/tnnls.2018.2868835.
Jin X-B, Zhang X-Y, Huang K, Geng G-G. Stochastic Conjugate Gradient Algorithm With Variance Reduction. IEEE transactions on neural networks and learning systems. 2019 May;30(5):1360–9.
Jin, Xiao-Bo, et al. “Stochastic Conjugate Gradient Algorithm With Variance Reduction.IEEE Transactions on Neural Networks and Learning Systems, vol. 30, no. 5, May 2019, pp. 1360–69. Epmc, doi:10.1109/tnnls.2018.2868835.
Jin X-B, Zhang X-Y, Huang K, Geng G-G. Stochastic Conjugate Gradient Algorithm With Variance Reduction. IEEE transactions on neural networks and learning systems. 2019 May;30(5):1360–1369.

Published In

IEEE transactions on neural networks and learning systems

DOI

EISSN

2162-2388

ISSN

2162-237X

Publication Date

May 2019

Volume

30

Issue

5

Start / End Page

1360 / 1369

Related Subject Headings

  • Artificial Intelligence & Image Processing
  • 4602 Artificial intelligence