Momentum Optimization in Machine Learning: A Detailed Mathematical Analysis and Practical Application – Day 33
Momentum Optimization in Machine Learning: A Detailed Mathematical Analysis and Practical Application Momentum optimization is a key enhancement to the gradient descent algorithm, widely used in machine learning for faster and more stable convergence. This guide will explore the mathematical underpinnings of gradient descent and momentum optimization, provide proofs of their convergence properties, and demonstrate how momentum can accelerate the optimization process through a practical example. 1. Gradient Descent: Mathematical Foundations and Proof of Convergence 1.1 Basic Gradient Descent Gradient Descent is an iterative algorithm used to minimize a cost function . It updates the parameters in the direction of the negative gradient of the cost function. The update rule for gradient descent is: Where: is the parameter vector at iteration . is the learning rate. is the gradient of the cost function with respect to . 1.2 Mathematical Proof Without Momentum Let’s consider a quadratic cost function, which is common in many machine learning problems: Where is a positive-definite matrix and is a vector. The gradient of this cost function is: Using the gradient descent update rule: Rearranging: For convergence, we require the eigenvalues of to be less than 1 in magnitude, which leads to the condition: is...