August 24, 2017

Frontiers in AI – Francesco Orabona

13:00

Location: Microsoft Research Cambridge UK

21 Station Road
Cambridge
CB1 2FB

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Frontiers in Artificial Intelligence is a series of public lectures at Microsoft Research Cambridge featuring leading researchers in the field, focusing on the cutting edge topics at the intersection of machine learning, statistics, and artificial intelligence. Students, scientists, and engineers in academia and industry are all welcome to join us for these exciting talks and the opportunity to socialize with the Cambridge AI/ML community.

Coin Betting for Backprop without Learning Rates and More

Dr Francesco Orabona, Stony Brook University

Deep learning methods achieve state-of-the-art performance in many application scenarios. Yet, these methods require a significant amount of hyperparameters tuning in order to achieve the best results. In particular, tuning the learning rates in the stochastic optimization process is still one of the main bottlenecks.

In this talk, I will propose a new stochastic gradient descent procedure that does not require any learning rate setting. Contrary to previous methods, we do not adapt the learning rates nor we make use of the assumed curvature of the objective function. Instead, we reduce the optimization process to a game of betting on a non-stochastic coin and we propose an optimal strategy based on a generalization of Kelly betting. Moreover, I’ll show how this reduction can be also used for other machine learning problems.

Theoretical convergence is proven for convex and quasi-convex functions and empirical evidence shows the advantage of our algorithm over popular stochastic gradient algorithms