Stochastic variance reduced gradient (SVRG) C++ code

This software package provides implementation of the convex case (linear predictors) of stochastic variance reduced gradient (SVRG) described in [1]. Implementation of the non-convex case (neural network) is not included.

The covtype dataset provided as sample data is originally from the UCI repository [2]. The provided files were generated by converting the LIBSVM scaled version downloadable at [3].

This program is free software issued under the GNU General Public License V3 .

Download

SVRG code and sample data

References

[1] Rie Johnson and Tong Zhang. Accelerating stochastic gradient descent using predictive variance reduction. NIPS 2013.
[2] UCI Machine Learning Repository. http://archive.ics.uci.edu/ml/
[3] http://www.csie.ntu.edu.tw/~cjlin/libsvmtools/datasets/binary.html#covtype.binary