SGDLibrary: A MATLAB library for stochastic gradient descent algorithms

We consider the problem of finding the minimizer of a function f : R → R of the form min f(w) = 1 n ∑ i fi(w). This problem has been studied intensively in recent years in machine learning research field. One typical but promising approach for large-scale data is stochastic optimization algorithm. SGDLibrary is a flexible, extensible and efficient pure-Matlab library of a collection of stochastic optimization algorithms. The purpose of the library is to provide researchers and implementers a comprehensive evaluation environment of those algorithms on various machine learning problems.