1. CHAPTER 5 S TOCHASTIC G RADIENT F ORM OF S TOCHASTIC A PROXIMATION Organization of chapter in ISSO –Stochastic gradient Core algorithm Basic principles Nonlinear regression Connections to LMS –Neural network training –Discrete event dynamic systems –Image processing Slides for Introduction to Stochastic Search and Optimization (ISSO) by J. C. Spall

2. 5-2 Stochastic Gradient Formulation For differentiable L(  ), recall familiar set of p equations and p unknowns for use in finding a minimum   : Above is special case of root-finding problem Suppose cannot observe L(  ) and g(  ) except in presence of noise –Adaptive control (target tracking) –Simulation-based optimization –Etc. unbiased measurementSeek unbiased measurement of  L /  for optimization

3. 5-3 Stochastic Gradient Formulation (Cont’d) Suppose L(  ) = E[Q( ,  V  )] –V represents all random effects –Q( ,  V) represents “observed” cost (noisy measurement of L(  )) Seek a representation where  Q /  is an unbiased measurement of  L /  –Not true when distribution function for V depends on  desiredrepresentationAbove implies that desired representation isnot where p V (  ) is density function for V

4. 5-4 Stochastic Gradient Measurement and Algorithm When density p V (  ) is independent of , is unbiased measurement of  L /  –Above requires derivative – integral interchange in  L /  =  E[Q( ,  V)] /  = E[  Q( ,  V) /   ] to be valid Can use root-finding (Robbins-Monro) SA algorithm to attempt to find   : Unbiased measurement satisfies key convergence conditions of SA (Section 4.3 in ISSO)

5. 5-5 Stochastic Gradient Tendency to Move Iterate in Correct Direction

6. 5-6 Stochastic Gradient and LMS Connections Recall basic linear model from Chapter 3: Consider standard MSE loss: L(  )= –Implies Q = Recall basic LMS algorithm from Chapter 3 Hence LMS is direct application of stochastic gradient SA Proposition 5.1 in ISSO shows how SA convergence theory applies to LMS –Implies convergence of LMS to  

7. 5-7 Neural Networks Neural networks (NNs) are general function approximators Actual output z k represented by a NN according to standard model z k = h( ,  x k ) + v k –h( ,  x k ) represents NN output for input x k and weight values  –v k represents noise Diagram of simple feedforward NN on next slide backpropagationMost popular training method is backpropagation (mean- squared-type loss function) Backpropagation is following stochastic gradient recursion

8. 5-8 Simple Feedforward Neural Network with p = 25 Weight Parameters

9. 5-9 Discrete-Event Dynamic Systems Many applications of stochastic gradient methods in simulation-based optimization Discrete-event dynamic systems frequently modeled by simulation –Trajectories of process are piecewise constant Derivative – integral interchange critical –Interchange not valid in many realistic systems –Interchange condition checked on case-by-case basis Overall approach requires knowledge of inner workings of simulation –Needed to obtain  Q( ,  V) /  –Chapters 14 and 15 of ISSO have extensive discussion of simulation-based optimization

10. 5-10 Image Restoration Aim is to recover true image subject to having recorded image corrupted by noise Common to construct least-squares type problem where H  s represents a convolution of the measurement process (H) and the true pixel-by-pixel image (s) Can be solved by either batch linear regression methods or the LMS/RLS methods Nonlinear measurements need full power of stochastic gradient method –Measurements modeled as Z = F(s, x, V)