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Title: A Diffusion Approximation Theory of Momentum Stochastic Gradient Descent in Nonconvex Optimization
Momentum stochastic gradient descent (MSGD) algorithm has been widely applied to many nonconvex optimization problems in machine learning (e.g., training deep neural networks, variational Bayesian inference, etc.). Despite its empirical success, there is still a lack of theoretical understanding of convergence properties of MSGD. To fill this gap, we propose to analyze the algorithmic behavior of MSGD by diffusion approximations for nonconvex optimization problems with strict saddle points and isolated local optima. Our study shows that the momentum helps escape from saddle points but hurts the convergence within the neighborhood of optima (if without the step size annealing or momentum annealing). Our theoretical discovery partially corroborates the empirical success of MSGD in training deep neural networks.  more » « less
Award ID(s):
1453934 2053489
NSF-PAR ID:
10333178
Author(s) / Creator(s):
; ; ;
Date Published:
Journal Name:
Stochastic Systems
Volume:
11
Issue:
4
ISSN:
1946-5238
Page Range / eLocation ID:
265 to 281
Format(s):
Medium: X
Sponsoring Org:
National Science Foundation
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