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How does classical momentum modify SGD?

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Answer

  • Maintain a velocity: vt  =  β    vt1  +  gtv_{t}\; = \;{\beta}\; \cdot \;v_{t} - 1\; + \;g_{t}; then θt+1  =  θt    η    vt{\theta}_{t} + 1\; = \;{\theta}_{t}\; - \;{\eta}\; \cdot \;v_{t}.
  • Typical β = 0.9.
  • Momentum accumulates gradients over recent steps, damping oscillations along high-curvature directions and accelerating along consistent ones.
  • Roughly equivalent to averaging gradients over the last ~1/(1-β) steps — often improves convergence 2-10x on ill-conditioned problems.
Check yourself — multiple choice
  • Momentum divides the gradient by β
  • v ← β·v + g, θ ← θ - η·v — smooths and accelerates convergence on ill-conditioned loss
  • Momentum doubles learning rate
  • Momentum only works on CPUs

Momentum accumulates gradient exponentially (β≈0.9) — smoother, faster convergence.

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