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An Asymptotic Analysis of Random Partition Based Minibatch Momentum Methods for Linear Regression Models
An Asymptotic Analysis of Random Partition Based Minibatch Momentum Methods for Linear Regression Models
An Asymptotic Analysis of Random Partition Based Minibatch Momentum Methods for Linear Regression Models
An Asymptotic Analysis of Random Partition Based Minibatch Momentum Methods for Linear Regression Models
9Jan
Seminar Calendar, Information and Innovation Management

An Asymptotic Analysis of Random Partition Based Minibatch Momentum Methods for Linear Regression Models

9 Jan 2024 | 4:30 p.m. — 5:30 p.m.
KK 301, K. K. Leung Building, HKU
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SPEAKER

Professor Hansheng Wang
Head of Department of Business Statistics and Econometrics
Guanghua School of Management
Peking university

ABSTRACT

Momentum methods have been shown to accelerate the convergence of the standard gradient descent algorithm in practice and theory. In particular, the random partition based minibatch gradient descent methods with momentum (MGDM) are widely used to solve large-scale optimization problems with massive datasets. Despite the great popularity of the MGDM methods in practice, their theoretical properties are still underexplored. To this end, we investigate the theoretical properties of MGDM methods based on the linear regression models. We first study the numerical convergence properties of the MGDM algorithm and derive the conditions for faster numerical convergence rate. In addition, we explore the relationship between the statistical properties of the resulting MGDM estimator and the tuning parameters. Based on these theoretical findings, we give the conditions for the resulting estimator to achieve the optimal statistical efficiency. Finally, extensive numerical experiments are conducted to verify our theoretical results.

(Joint work with Yuan Gao, Xuening Zhu, Haobo Qi, Guodong Li and Riquan Zhang)

 

This research seminar is one of the plenary talks at “The 1st Workshop of Data Science: Factor-Analysis Learning – Inference, Bayesian, & Practices” jointly organized by PolyU, CityU, and HKU. Please visit the website: https://events.polyu.edu.hk/dsfal/home.
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An Asymptotic Analysis of Random Partition Based Minibatch Momentum Methods for Linear Regression Models
About Speaker
Prof. Hansheng Wang

Head of Department of Business Statistics and Econometrics | Guanghua School of Management | Peking university

An Asymptotic Analysis of Random Partition Based Minibatch Momentum Methods for Linear Regression Models
9 Jan 20244:30 p.m. — 5:30 p.m.
KK 301, K. K. Leung Building, HKU
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