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1. Asymptotic Analysis via Stochastic Differential Equations of Gradient Descent Algorithms in Statistical and Computational Paradigms

   Wang, Yazhen ; Wu, Shang ( September 2020 , Journal of machine learning research)

   Bach, Francis ; Blei, David ; Scholkopf, Bernhard (Ed.)

   This paper investigates the asymptotic behaviors of gradient descent algorithms (particularly accelerated gradient descent and stochastic gradient descent) in the context of stochastic optimization arising in statistics and machine learning, where objective functions are estimated from available data. We show that these algorithms can be computationally modeled by continuous-time ordinary or stochastic differential equations. We establish gradient flow central limit theorems to describe the limiting dynamic behaviors of these computational algorithms and the large-sample performances of the related statistical procedures, as the number of algorithm iterations and data size both go to infinity, where the gradient flow central limit theorems are governed by some linear ordinary or stochastic differential equations, like time-dependent Ornstein-Uhlenbeck processes. We illustrate that our study can provide a novel unified framework for a joint computational and statistical asymptotic analysis, where the computational asymptotic analysis studies the dynamic behaviors of these algorithms with time (or the number of iterations in the algorithms), the statistical asymptotic analysis investigates the large-sample behaviors of the statistical procedures (like estimators and classifiers) that are computed by applying the algorithms; in fact, the statistical procedures are equal to the limits of the random sequences generated from these iterative algorithms, as the number of iterations goes to infinity. The joint analysis results based on the obtained The joint analysis results based on the obtained gradient flow central limit theorems lead to the identification of four factors---learning rate, batch size, gradient covariance, and Hessian---to derive new theories regarding the local minima found by stochastic gradient descent for solving non-convex optimization problems. 

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2. Sharp Composition Bounds for Gaussian Differential Privacy via Edgeworth Expansion

   Zheng, Qingqing ; Dong, Jinshuo ; Long, Qi ; Su, Weijie ( January 2020 , International Conference on Machine Learning)

   Datasets containing sensitive information are often sequentially analyzed by many algorithms. This raises a fundamental question in differential privacy regarding how the overall privacy bound degrades under composition. To address this question, we introduce a family of analytical and sharp privacy bounds under composition using the Edgeworth expansion in the framework of the recently proposed f-differential privacy. In contrast to the existing composition theorems using the central limit theorem, our new privacy bounds under composition gain improved tightness by leveraging the refined approximation accuracy of the Edgeworth expansion. Our approach is easy to implement and computationally efficient for any number of compositions. The superiority of these new bounds is confirmed by an asymptotic error analysis and an application to quantifying the overall privacy guarantees of noisy stochastic gradient descent used in training private deep neural networks. 

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3. On Linear Stochastic Approximation: Fine-grained Polyak-Ruppert and Non-Asymptotic Concentration

   Mou, Wenlong ; Li, Chris Junchi ; Wainwright, Martin J ; Bartlett, Peter L ; Jordan, Michael I ( January 2020 , Proceedings of Thirty Third Conference on Learning Theory)

   null (Ed.)

   We undertake a precise study of the asymptotic and non-asymptotic properties of stochastic approximation procedures with Polyak-Ruppert averaging for solving a linear system $\bar{A} \theta = \bar{b}$. When the matrix $\bar{A}$ is Hurwitz, we prove a central limit theorem (CLT) for the averaged iterates with fixed step size and number of iterations going to infinity. The CLT characterizes the exact asymptotic covariance matrix, which is the sum of the classical Polyak-Ruppert covariance and a correction term that scales with the step size. Under assumptions on the tail of the noise distribution, we prove a non-asymptotic concentration inequality whose main term matches the covariance in CLT in any direction, up to universal constants. When the matrix $\bar{A}$ is not Hurwitz but only has non-negative real parts in its eigenvalues, we prove that the averaged LSA procedure actually achieves an $O(1/T)$ rate in mean-squared error. Our results provide a more refined understanding of linear stochastic approximation in both the asymptotic and non-asymptotic settings. We also show various applications of the main results, including the study of momentum-based stochastic gradient methods as well as temporal difference algorithms in reinforcement learning. 

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4. Towards provably efficient quantum algorithms for large-scale machine-learning models

   https://doi.org/10.1038/s41467-023-43957-x  

   Liu, Junyu ; Liu, Minzhao ; Liu, Jin-Peng ; Ye, Ziyu ; Wang, Yunfei ; Alexeev, Yuri ; Eisert, Jens ; Jiang, Liang ( December 2024 , Nature Communications)

   Large machine learning models are revolutionary technologies of artificial intelligence whose bottlenecks include huge computational expenses, power, and time used both in the pre-training and fine-tuning process. In this work, we show that fault-tolerant quantum computing could possibly provide provably efficient resolutions for generic (stochastic) gradient descent algorithms, scaling as$${{{{{{{\mathcal{O}}}}}}}}({T}^{2}\times {{{{{{{\rm{polylog}}}}}}}}(n))$$$O\left(T^2\times \mathrm{polylog}\left(n\right)\right)$, wherenis the size of the models andTis the number of iterations in the training, as long as the models are both sufficiently dissipative and sparse, with small learning rates. Based on earlier efficient quantum algorithms for dissipative differential equations, we find and prove that similar algorithms work for (stochastic) gradient descent, the primary algorithm for machine learning. In practice, we benchmark instances of large machine learning models from 7 million to 103 million parameters. We find that, in the context of sparse training, a quantum enhancement is possible at the early stage of learning after model pruning, motivating a sparse parameter download and re-upload scheme. Our work shows solidly that fault-tolerant quantum algorithms could potentially contribute to most state-of-the-art, large-scale machine-learning problems.

    

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5. Better Parameter-free Stochastic Optimization with ODE Updates for Coin-Betting

   Chen, Keyi ; Langford, John ; Orabona, Francesco ( January 2022 , Proceedings of the AAAI Conference on Artificial Intelligence)

   Parameter-free stochastic gradient descent (PFSGD) algorithms do not require setting learning rates while achieving optimal theoretical performance. In practical applications, however, there remains an empirical gap between tuned stochastic gradient descent (SGD) and PFSGD. In this paper, we close the empirical gap with a new parameter-free algorithm based on continuous-time Coin-Betting on truncated models. The new update is derived through the solution of an Ordinary Differential Equation (ODE) and solved in a closed form. We show empirically that this new parameter-free algorithm outperforms algorithms with the "best default" learning rates and almost matches the performance of finely tuned baselines without anything to tune. 

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