[optimization] Stochastic gradient descent with gain schedule a la Leon Bottou

src/stochastic_gradient_descent.h

@@ -0,0 +1,22 @@
+/*
+Stochastic gradient descent implementation
+
+Based on Leon Bottou's Stochastic Gradient Descent Tricks:
+http://leon.bottou.org/publications/pdf/tricks-2012.pdf
+
+Learning rate calculated as:
+gamma_t = gamma_0(1 + gamma_0 * lambda * t)^-1
+
+*/
+#ifndef STOCHASTIC_GRADIENT_DESCENT_H
+#define STOCHASTIC_GRADIENT_DESCENT_H
+
+#include <stdlib.h>
+#include <stdbool.h>
+
+#include "matrix.h"
+
+bool stochastic_gradient_descent(matrix_t *theta, matrix_t *gradient, double alpha);
+bool stochastic_gradient_descent_scheduled(matrix_t *theta, matrix_t *gradient, float lambda, uint32_t t, double gamma_0);
+
+#endif