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Francis Bach. Harder, Better, Faster, Stronger Convergence Rates for Least-Squares Regression.
Francis Bach

Sat Dec 10 05:30 AM -- 06:00 AM (PST) @ None
Event URL: https://sites.google.com/site/nips2016adaptive/invited-speakers »

We consider the optimization of a quadratic objective function whose gradients are only accessible through a stochastic oracle that returns the gradient at any given point plus a zero-mean finite variance random error. We present the first algorithm that achieves jointly the optimal prediction error rates for least-squares regression, both in terms of forgetting of initial conditions in O(1/n^2), and in terms of dependence on the noise and dimension d of the problem, as O(d/n). Our new algorithm is based on averaged accelerated regularized gradient descent, and may also be analyzed through finer assumptions on initial conditions and the Hessian matrix, leading to dimension-free quantities that may still be small while the "optimal " terms above are large. In order to characterize the tightness of these new bounds, we consider an application to non-parametric regression and use the known lower bounds on the statistical performance (without computational limits), which happen to match our bounds obtained from a single pass on the data and thus show optimality of our algorithm in a wide variety of particular trade-offs between bias and variance. [joint work with Aymeric Dieuleveut and Nicolas Flammarion]

Author Information

Francis Bach (INRIA - Ecole Normale Superieure)

Francis Bach is a researcher at INRIA, leading since 2011 the SIERRA project-team, which is part of the Computer Science Department at Ecole Normale Supérieure in Paris, France. After completing his Ph.D. in Computer Science at U.C. Berkeley, he spent two years at Ecole des Mines, and joined INRIA and Ecole Normale Supérieure in 2007. He is interested in statistical machine learning, and especially in convex optimization, combinatorial optimization, sparse methods, kernel-based learning, vision and signal processing. He gave numerous courses on optimization in the last few years in summer schools. He has been program co-chair for the International Conference on Machine Learning in 2015.

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