13/04/2021

Mirrorless mirror descent: A natural derivation of mirror descent

Suriya Gunasekar, Blake Woodworth, Nathan Srebro

Keywords:

Abstract: We present a direct (primal only) derivation of Mirror Descent as a “partial” discretization of gradient flow on a Riemannian manifold where the metric tensor is the Hessian of the Mirror Descent potential function. We contrast this discretization to Natural Gradient Descent, which is obtained by a “full” forward Euler discretization. This view helps shed light on the relationship between the methods and allows generalizing Mirror Descent to any Riemannian geometry in \mathbb{R}^d, even when the metric tensor is not a Hessian, and thus there is no “dual.”

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