Raghav Somani

Raghav Somani

Quantitative Analyst at
The D. E. Shaw Group

Non-asymptotic rate for Random Shuffling for Quadratic functions

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This article is in continuation of my previous blog, and discusses about a section of the work by Jeffery Z. HaoChen and Suvrit Sra 2018, in which the authors come up with a non-asymptotic rate of \(\mathcal{O}\left(\frac{1}{T^2} + \frac{n^3}{T^3} \right)\) for Random Shuffling Stochastic algorithm which is strictly better than that of SGD. The article talks about the simple case when the objective function is a sum of quadratic functions where with a fixed step-size and after a reasonable number of epochs, we can guarentee a faster rate for Random Shuffling.

The complete PDF post can be viewed here.

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