ASYMPTOTIC AND FINITE-SAMPLE PROPERTIES OF ESTIMATORS BASED ON STOCHASTIC GRADIENTS

• 成果类型: Article
• 署名作者: Toulis, Panos; Airoldi, Edoardo M.
• 署名单位: University of Chicago; Harvard University
• 刊物名称: ANNALS OF STATISTICS
• ISSN/ISSBN: 0090-5364
• DOI: 10.1214/16-AOS1506
• 发表日期: 2017
• 页码: 1694-1727
• 关键词: regularization paths; maximum-likelihood; Robust Estimation; algorithm; online; models; approximation; CONVERGENCE

摘要

Stochastic gradient descent procedures have gained popularity for parameter estimation from large data sets. However, their statistical properties are not well understood, in theory. And in practice, avoiding numerical instability requires careful tuning of key parameters. Here, we introduce implicit stochastic gradient descent procedures, which involve parameter updates that are implicitly defined. Intuitively, implicit updates shrink standard stochastic gradient descent updates. The amount of shrinkage depends on the observed Fisher information matrix, which does not need to be explicitly computed; thus, implicit procedures increase stability without increasing the computational burden. Our theoretical analysis provides the first full characterization of the asymptotic behavior of both standard and implicit stochastic gradient descent-based estimators, including finite-sample error bounds. Importantly, analytical expressions for the variances of these stochastic gradient-based estimators reveal their exact loss of efficiency. We also develop new algorithms to compute implicit stochastic gradient descent-based estimators for generalized linear models, Cox proportional hazards, M-estimators, in practice, and perform extensive experiments. Our results suggest that implicit stochastic gradient descent procedures are poised to become a workhorse for approximate inference from large data sets.