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Recall that gradient descent is an optimization methodology in machine learning problems. It uses the following update rule:x k+1 =x k -h k f(x k
Recall that gradient descent is an optimization methodology in machine learning problems. It uses the following update rule:xk+1=xk-hkf(xk), where hk are step size (fixed or varies across iterations). Explain (using formal mathematical rigor):-
- Why, when f is convex,hk<2>L is the Lipschitz constant of the gradient of the function f) is a sufficient and necessary condition for the gradient descent to converge?
- Why is gradient descent problematic in non-convex problems? (Hint: look at converge to a stationary point.)
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