SGD

Implementation of Stochastic Gradient Descent algorithms in Python (GNU GPLv3)
If you find this code useful please cite the article:

Topology Optimization under Uncertainty using a Stochastic Gradient-based Approach

Subhayan De, Jerrad Hampton, Kurt Maute, and Alireza Doostan (2020)
Structural and Multidisciplinary Optimization, 62(5), 2255-2278.
https://doi.org/10.1007/s00158-020-02599-z

BibTeX entry:

@article{de2020topology,
title={Topology optimization under uncertainty using a stochastic gradient-based approach},
author={De, Subhayan and Hampton, Jerrad and Maute, Kurt and Doostan, Alireza},
journal={Structural and Multidisciplinary Optimization},
volume={62},
number={5},
pages={2255--2278},
year={2020},
publisher={Springer}
}

Download the SGD module from https://github.com/CU-UQ/SGD.
See the demo https://github.com/CU-UQ/SGD/blob/master/sgd_demo.py for an example of the implementation.
For a description of the algorithms, see De et al (2020) (https://doi.org/10.1007/s00158-020-02599-z) and Ruder (2016) (https://arxiv.org/abs/1609.04747).
Please report any bugs to [email protected]

Website: www.subhayande.com

Required packages: numpy, time

This module implements:
(i) Stochastic Gradient Descent,
(ii) SGD with Momentum,
(iii) NAG,
(iv) AdaGrad,
(iv) RMSprop,
(vi) Adam,
(vii) Adamax,
(viii) Adadelta,
(ix) Nadam,
(x) SAG,
(xi) minibatch SGD,
(xii) SVRG.

NOTE: Currently, the stopping conditions are maximum number of iteration and 2nd norm of gradient vector is smaller than a tolerance value. Only, time-delay and exponential learning schedules are implemented.

Download this file and use import SGD as sgd to use the algorithms.
See sgd_demo.py for an example.