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Add an option to Polyak SGD to take the positive part of the suboptimality #1178

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carlosgmartin opened this issue Jan 20, 2025 · 2 comments · May be fixed by #1180
Open

Add an option to Polyak SGD to take the positive part of the suboptimality #1178

carlosgmartin opened this issue Jan 20, 2025 · 2 comments · May be fixed by #1180

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@carlosgmartin
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Feature request: Add an option to the Polyak SGD optimizer that uses only the positive part of the suboptimality gap. That is, it replaces $f(x) - f^*$ with $(f(x) - f^*)_+$, where $a_+ = \max \{a, 0\}$ is the ramp function.

This is the variant of Stochastic Polyak Stepsize (SPS) that Garrigos et al. 2023 call SPS$_+$.

Possible names for this option are

  • clip
  • clamp
  • plus

I can submit a PR for this.

@fabianp
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fabianp commented Jan 21, 2025

agreed! I like 'plus' since its consistent with the Garrigos et al. name

@carlosgmartin carlosgmartin linked a pull request Jan 22, 2025 that will close this issue
@carlosgmartin
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@fabianp Done: #1180.

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