SGDLibrary: A MATLAB library for stochastic gradient descent algorithms

10/27/2017

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by   Hiroyuki Kasai, et al.

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We consider the problem of finding the minimizer of a function f: R^d →R of the form f(w) = 1/n∑_if_i(w). This problem has been studied intensively in recent years in machine learning research field. One typical but promising approach for large-scale data is stochastic optimization algorithm. SGDLibrary is a flexible, extensible and efficient pure-Matlab library of a collection of stochastic optimization algorithms. The purpose of the library is to provide researchers and implementers a comprehensive evaluation environment of those algorithms on various machine learning problems.