Applied mathematician Carola Schönlieb explains why stochastic optimization and approximate loss minimization are preferred in machine learning over exact training loss minimization.
“You do not necessarily need to solve your optimization problem, your training exactly. And maybe sometimes, or most of the time you actually don't want it, want to save it exactly because you only have a finite amount of training examples. And so when you think about what these neural networks are doing, they're trying to minimize a loss over the training examples that you have. But this loss is only an approximation of many, many, many, many more images that you want your neural network to work for. And so very often you do not want to solve that exactly. You don't want to minimize your loss exactly for this training set.”
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