Can Single-Shuffle SGD be Better than Reshuffling SGD and GD?

Abstract: We propose matrix norm inequalities that extend the Recht-R\'e (2012) conjecture on a noncommutative AM-GM inequality by supplementing it with another inequality that accounts for single-shuffle, which is a widely used without-replacement sampling scheme that shuffles only once in the beginning and is overlooked in the Recht-R\'e conjecture. Instead of general positive semidefinite matrices, we restrict our attention to positive definite matrices with small enough condition numbers, which are more relevant to matrices that arise in the analysis of SGD. For such matrices, we conjecture that the means of matrix products corresponding to with- and without-replacement variants of SGD satisfy a series of spectral norm inequalities that can be summarized as: "single-shuffle SGD converges faster than random-reshuffle SGD, which is in turn faster than with-replacement SGD." We present theorems that support our conjecture by proving several special cases.