Lederrey, Gael;
Lurkin, Virginie;
Hillel, Tim;
Bierlaire, Michel;
(2019)
Stochastic Optimization with Adaptive Batch Size:
Discrete Choice Models as a Case Study.
In: Scherer, Patrick, (ed.)
19th Swiss Transport Research Conference.
Institute for Economic Research, Università della Svizzera italiana: Ascona, Switzerland.
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Abstract
The 2.5 quintillion bytes of data created each day brings new opportunities, but also new stimulating challenges for the discrete choice community. Opportunities because more and more new and larger data sets will undoubtedly become available in the future. Challenging because insights can only be discovered if models can be estimated, which is not simple on these large datasets. In this paper, inspired by the good practices and the intensive use of stochastic gradient methods in the ML field, we introduce the algorithm called Window Moving Average - Adaptive Batch Size (WMA-ABS) which is used to improve the efficiency of stochastic second-order methods. We present preliminary results that indicate that our algorithms outperform the standard secondorder methods, especially for large datasets. It constitutes a first step to show that stochastic algorithms can finally find their place in the optimization of Discrete Choice Models.
| Type: | Proceedings paper |
|---|---|
| Title: | Stochastic Optimization with Adaptive Batch Size: Discrete Choice Models as a Case Study |
| Event: | 19th Swiss Transport Research Conference |
| Location: | Ascona, Switzerland |
| Dates: | 15 May 2019 - 17 Sep 2019 |
| Open access status: | An open access version is available from UCL Discovery |
| Publisher version: | https://www.strc.ch/2019.php |
| Language: | English |
| Additional information: | This version is the version of record. For information on re-use, please refer to the publisher’s terms and conditions. |
| Keywords: | Optimization, Discrete Choice Models, Stochastic Algorithms, Adaptive Batch Size |
| UCL classification: | UCL UCL > Provost and Vice Provost Offices > UCL BEAMS UCL > Provost and Vice Provost Offices > UCL BEAMS > Faculty of Engineering Science UCL > Provost and Vice Provost Offices > UCL BEAMS > Faculty of Engineering Science > Dept of Civil, Environ and Geomatic Eng |
| URI: | https://discovery.ucl.ac.uk/id/eprint/10174125 |
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