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[C++] implement polyak-ruppert averaging for gradient descent #390

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suntzu86 opened this issue Aug 20, 2014 · 0 comments
Open

[C++] implement polyak-ruppert averaging for gradient descent #390

suntzu86 opened this issue Aug 20, 2014 · 0 comments

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@suntzu86
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C++'s gradient descent code currently does not support any kind of averaging.

We should implement polyak-ruppert averaging. This is already done in moe.optimal_learning.python.python_version.optimization.GradientDescentDescentOptimizer.optimize so porting it should be straightfoward.

This hasn't proven to be much of a hindrance insofar as the results obtained in Python with/without averaging have been comparable (i.e., the final gradient hasn't bee much better either way). Still we should be consistent and this averaging is generally a good idea.

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