How to check if gradient descent with multiple variables converged correctly?

Question

In linear regression with 1 variable I can clearly see on plot prediction line and I can see if it properly fits the training data. I just create a plot with 1 variable and output and construct prediction line based on found values of Theta 0 and Theta 1. So, it looks like this:

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But how can I check validity of gradient descent results implemented on multiple variables/features. For example, if number of features is 4 or 5. How to check if it works correctly and found values of all thetas are valid? Do I have to rely only on cost function plotted against number of iterations carried out?

Answer 1

There are some things you can try.

1) Check if your cost/energy function is not improving as your iteration progresses. Use something like "abs(E_after - E_before) < 0.00001*E_before", i.e. check if the relative difference is very low.

2) Check if your variables have stopped changing. You can opt a very similar strategy like above to check this.

There is actually no perfect way to fully make sure that your function has converged, but some of the things mentioned above are what usually people try.

Good luck!

Answer 2

We can think of gradient descent as of something solving a problem of f'(x) = 0 where f' denotes gradient of f. For checking this problem convergence, as far as I know, the standard approach is to calculate discrepancy on each iteration and see if it converges to 0.
That is, check if ||f'(x)|| (or its square) converges to 0.

Answer 3

Gradient descent converges to a local minimum, meaning that the first derivative should be zero and the second non-positive. Checking these two matrices will tell you if the algorithm has converged.