The Implicit Regularization of Momentum Gradient Descent with Early Stopping

Abstract: The study on the implicit regularization induced by gradient-based optimization is a longstanding pursuit. In the present paper, we characterize the implicit regularization of momentum gradient descent (MGD) with early stopping by comparing with the explicit $\ell_2$-regularization (ridge). In details, we study MGD in the continuous-time view, so-called momentum gradient flow (MGF), and show that its tendency is closer to ridge than the gradient descent (GD) [Ali et al., 2019] for least squares regression. Moreover, we prove that, under the calibration $t=\sqrt{2/\lambda}$, where $t$ is the time parameter in MGF and $\lambda$ is the tuning parameter in ridge regression, the risk of MGF is no more than 1.54 times that of ridge. In particular, the relative Bayes risk of MGF to ridge is between 1 and 1.035 under the optimal tuning. The numerical experiments support our theoretical results strongly.