Stochastic Learning Rate Optimization in the Stochastic Approximation and Online Learning Settings
Theodoros Mamalis, Dušan M. Stipanović, Petros G. Voulgaris · 2022 American Control Conference (ACC) · 2022
In this work, multiplicative stochasticity is applied to the learning rate of stochastic optimization algorithms, giving rise to stochastic learning-rate schemes. In-expectation theoretical convergence results of Stochastic Gradient Descent equipped with this novel stochastic learning rate scheme under the stochastic setting, as well as convergence results under the online optimization settings are provided. Empirical results consider the case of an adaptively uniformly distributed multiplicative stochasticity equipped with a stochastic learning rate.