Title: SGD: General Analysis and Improved Rates,
Abstract: We propose a general yet simple theorem describing the convergence of SGD
under the arbitrary sampling paradigm. Our theorem describes the convergence of
an infinite array of variants of SGD, each of which is associated with a
specific probability law governing the data selection rule used to form
mini-batches. This is the first time such an analysis is performed, and most of
our variants of SGD were never explicitly considered in the literature before.
Our analysis relies on the recently introduced notion of expected smoothness
and does not rely on a uniform bound on the variance of the stochastic
gradients. By specializing our theorem to different mini-batching strategies,
such as sampling with replacement and independent sampling, we derive exact
expressions for the stepsize as a function of the mini-batch size. With this we
can also determine the mini-batch size that optimizes the total complexity, and
show explicitly that as the variance of the stochastic gradient evaluated at
the minimum grows, so does the optimal mini-batch size. For zero variance, the
optimal mini-batch size is one. Moreover, we prove insightful
stepsize-switching rules which describe when one should switch from a constant
to a decreasing stepsize regime.