Practical Machine Learning Cookbook

Stochastic gradient descent - adult income

Stochastic gradient descent also known as incremental gradient descent, is a stochastic approximation of the gradient descent optimization method for minimizing an objective function that is written as a sum of differentiable functions. It tries to find minima or maxima by iteration. In stochastic gradient descent, the true gradient of Q(w) is approximated by a gradient at a single example:

As the algorithm sweeps through the training set, it performs the above update for each training example. Several passes can be made over the training set until the algorithm converges. If this is done, the data can ...