Minipatch Learning as Implicit Ridge-Like Regularization.

Ridge-like regularization often leads to improved generalization performance of machine learning models by mitigating overfitting. While ridge-regularized machine learning methods are widely used in many important applications, direct training via optimization could become challenging in huge data scenarios with millions of examples and features. We tackle such challenges by proposing a general approach that achieves ridge-like regularization through implicit techniques named Minipatch Ridge (MPRidge). Our approach is based on taking an ensemble of coefficients of unregularized learners trained on many tiny, random subsamples of both the examples and features of the training data, which we call minipatches. We empirically demonstrate that MPRidge induces an implicit ridge-like regularizing effect and performs nearly the same as explicit ridge regularization for a general class of predictors including logistic regression, SVM, and robust regression. Embarrassingly parallelizable, MPRidge provides a computationally appealing alternative to inducing ridge-like regularization for improving generalization performance in challenging big-data settings.