SGDLibrary: A MATLAB library for stochastic optimization algorithms

摘要

We consider the problem of finding the minimizer of a function $f: mathbb{R}^d ightarrow mathbb{R}$ of the finite-sum form $min f(w) = 1sum_{i}^n f_i(w)$. This problem has been studied intensively in recent years in the field of machine learning (ML). One promising approach for large-scale data is to use a stochastic optimization algorithm to solve the problem. SGDLibrary is a readable, flexible and extensible 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 for the use of these algorithms on various ML problems.