Stochastic Heavy ball

Sébastien Gadat (1) , Fabien Panloup (2) , Sofiane Saadane (1)

1 IMT - Institut de Mathématiques de Toulouse UMR5219
2 LAREMA - Laboratoire Angevin de Recherche en Mathématiques

This paper deals with a natural stochastic optimization procedure derived from the so-called Heavy-ball method differential equation, which was introduced by Polyak in the 1960s with his seminal contribution [Pol64]. The Heavy-ball method is a second-order dynamics that was investigated to minimize convex functions f. The family of second-order methods recently received a large amount of attention, until the famous contribution of Nesterov [Nes83], leading to the explosion of large-scale optimization problems. This work provides an in-depth description of the stochastic heavy-ball method, which is an adaptation of the deterministic one when only unbiased evalutions of the gradient are available and used throughout the iterations of the algorithm. We first describe some almost sure convergence results in the case of general non-convex coercive functions f. We then examine the situation of convex and strongly convex potentials and derive some non-asymptotic results about the stochastic heavy-ball method. We end our study with limit theorems on several rescaled algorithms.

Mots clés: Stochastic optimization algorithms; second-order methods; random dynamical systems

Domaines: Probabilités [math.PR]

Sébastien Gadat, Fabien Panloup, Sofiane Saadane. Stochastic Heavy ball. Electronic Journal of Statistics , 2018, 12 (1), pp.461-529. ⟨10.1214/18-EJS1395⟩. ⟨hal-01402683v2⟩