Multikernel Passive Stochastic Gradient Algorithms and Transfer Learning
Vikram Krishnamurthy, George Yin · IEEE Transactions on Automatic Control · 2021
This article develops a novel passive stochastic gradient algorithm. In passive stochastic approximation, the stochastic gradient algorithm does not have control over the location where noisy gradients of the cost function are evaluated. Classical passive stochastic gradient algorithms use a kernel that approximates a Dirac delta to weigh the gradients based on how far they are evaluated from the desired point. In this article, we construct a multikernel passive stochastic gradient algorithm. The algorithm performs substantially better in high dimensional problems and incorporates variance reduction. We analyze the weak convergence of the multikernel algorithm and its rate of convergence. In numerical examples, we study the multikernel version of the passive least mean squares algorithm for transfer learning to compare the performance with the classical passive version.