Convergence Analysis of alpha-SVRG under Strong Convexity

Stochastic first-order methods for empirical risk minimization employ gradient approximations based on sampled data in lieu of exact gradients. Such constructions introduce noise into the learning dynamics, which can be corrected through variance-reduction techniques. There is increasing evidence in the literature that in many modern learning applications noise can have a beneficial effect on optimization and generalization. To this end, the recently proposed variance-reduction technique, α-SVRG [1] allows for fine-grained control of the level of residual noise in the learning dynamics, and has been reported to empirically outperform both SGD and SVRG in modern deep learning scenarios. By focusing on strongly convex environments, we first provide a unified convergence rate expression for α-SVRG under fixed learning rate, which reduces to that of either SGD or SVRG by setting α=0 or α=1, respectively. We show that α-SVRG has faster convergence rate compared to SGD and SVRG under suitable choice of α. Simulation results on linear regression validate our theory.