Section: Software and Platforms
Participant : Mark Schmidt [correspondent] .
SAG: Minimizing Finite Sums with the Stochastic Average Gradient.
The SAG code contains C implements (via Matlab mex files) of the stochastic average gradient (SAG) method detailed below, as well as several related methods, for the problem of L2-regularized logistic regression with a finite training set.
The specific methods available in the package are: SGD: The stochastic gradient method with (user-supplied) step-sizes, (optional) projection step, and (optional) (weighted-)averaging. ASGD: A variant of the above code that supports less features, but efficiently implements uniform averaging on sparse data sets. PCD: A basic primal coordinate descent method with step sizes set according the (user-supplied) Lipschitz constants. DCA: A dual coordinate ascent method with a numerical high-accuracy line-search. SAG: The stochastic average gradient method with a (user-supplied) constant step size. SAGlineSearch: The stochastic average gradient method with the line-search described in the paper. SAG-LipschitzLS: The stochastic average gradient method with the line-search and adaptive non-uniform sampling strategy described in the paper.