Shuffling Momentum Gradient Algorithm for Convex Optimization

The Stochastic Gradient Method (SGD) and its stochastic variants have become methods of choice for solving finite-sum optimization problems arising from machine learning and data science thanks to their scalability to handle large-scale applications and big datasets. In the last decades, researchers have made substantial effort to study the theoretical performance of SGD and its shuffling variants. However, only limited work has investigated its shuffling momentum variants, including shuffling heavy-ball momentum schemes for non-convex problems and Nesterov’s momentum for convex settings. In this work, we extend the analysis of the shuffling momentum gradient method developed in (Proceedings of the 38th International Conference on Machine Learning, PMLR 139: 10379–10389, 2021) to both finite-sum convex and strongly convex optimization problems. We provide the first analysis of shuffling momentum-based methods for the strongly convex setting, attaining a convergence rate of \(\mathcal {O}(1/nT^2)\) $\mathcal{O}(1/n{T}^2)$ , where n is the number of samples and T is the number of training epochs. Our analysis is a state-of-the-art, matching the best rates of existing shuffling stochastic gradient algorithms in the literature.