Assistant Professor of Information, Operations and Management Sciences
New York University
Statistical Inference for Model Parameters with Stochastic Gradient Descent
In this talk, we investigate the problem of statistical inference of the true model parameters based on stochastic gradient descent (SGD) with Ruppert-Polyak averaging. To this end, we propose a consistent estimator of the asymptotic covariance of the average iterate from SGD — batch-means estimator, which only uses the iterates from SGD. As the SGD process forms a time-inhomogeneous Markov chain, our batch-means estimator with carefully chosen increasing batch sizes generalizes the classical batch-means estimator designed for time-homogenous Markov chains. The proposed batch-means estimator allows us to construct asymptotically exact confidence intervals and hypothesis tests. We further discuss an extension to conducting inference based on SGD for high-dimensional linear regression.
ABOUT XI CHEN
Xi Chen is an Assistant Professor at Stern School of Business at New York University (http://people.stern.nyu.edu/xchen3). Before that, he was a Postdoc in the group of Prof. Michael Jordan at UC Berkeley. He obtained his Ph.D. from the Machine Learning Department at Carnegie Mellon University (CMU).
He studies high-dimensional statistics, multi-armed bandits, and stochastic optimization. He also explores applications to big-data analysis, crowdsourcing, and revenue management. He received Simons-Berkeley Research Fellowship, Google Faculty Award, Adobe Data Science Award, Bloomberg Research Grant, and was featured in 2017 Forbes list of “30 Under30 in Science”.
Friday, 10/12/18, BLOC 113, 11:30 AM