Variance-Reduced Stochastic Gradient Descent on Streaming Data

Part of Advances in Neural Information Processing Systems 31 (NeurIPS 2018)

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Ellango Jothimurugesan, Ashraf Tahmasbi, Phillip Gibbons, Srikanta Tirthapura


We present an algorithm STRSAGA for efficiently maintaining a machine learning model over data points that arrive over time, quickly updating the model as new training data is observed. We present a competitive analysis comparing the sub-optimality of the model maintained by STRSAGA with that of an offline algorithm that is given the entire data beforehand, and analyze the risk-competitiveness of STRSAGA under different arrival patterns. Our theoretical and experimental results show that the risk of STRSAGA is comparable to that of offline algorithms on a variety of input arrival patterns, and its experimental performance is significantly better than prior algorithms suited for streaming data, such as SGD and SSVRG.