Non-Asymptotic Analysis of Stochastic Approximation Algorithms for Streaming Data

Antoine Godichon-Baggioni (1) , Nicklas Werge (1) , Olivier Wintenberger (1)

1 LPSM (UMR_8001) - Laboratoire de Probabilités, Statistique et Modélisation

Motivated by the high-frequency data streams continuously generated, real-time learning is becoming increasingly important. These data streams should be processed sequentially with the property that the stream may change over time. In this streaming setting, we propose techniques for minimizing a convex objective through unbiased estimates of its gradients, commonly referred to as stochastic approximation problems. Our methods rely on stochastic approximation algorithms due to their computationally advantage as they only use the previous iterate as a parameter estimate. The reasoning includes iterate averaging that guarantees optimal statistical efficiency under classical conditions. Our non-asymptotic analysis shows accelerated convergence by selecting the learning rate according to the expected data streams. We show that the average estimate converges optimally and robustly to any data stream rate. In addition, noise reduction can be achieved by processing the data in a specific pattern, which is advantageous for large-scale machine learning. These theoretical results are illustrated for various data streams, showing the effectiveness of the proposed algorithms.

Mots clés: machine learning; large-scale; stochastic approximation; stochastic optimization; streaming data

Domaines: Apprentissage [cs.LG]; Optimisation et contrôle [math.OC]; Machine Learning [stat.ML]

Antoine Godichon-Baggioni, Nicklas Werge, Olivier Wintenberger. Non-Asymptotic Analysis of Stochastic Approximation Algorithms for Streaming Data. 2021. ⟨hal-03343481v1⟩