Anyone tried implementing gradient descent on Quantopian?

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Anyone tried implementing gradient descent on Quantopian?

posted Apr 1, 2018

API Seeking Help

So I tried implementing bath gradient descent for a convex function over L1 unit ball

In C++, which I'm more familiar with, it takes about 800 iterations at learning rate of 0.1 to converge to the minimum

I'm not an expert in Python, but I "translated" the exact same code and with the exact same data, on Quantopian, it takes about learning rate of 999 in order to converge to the minimum at 800 iterations.

I know sometimes learning rate can be >1 depending on the situation, but given how it performed on my computer in C++, there's absolutely no way it should be like that

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The material on this website is provided for informational purposes only and does not constitute an offer to sell, a solicitation to buy, or a recommendation or endorsement for any security or strategy, nor does it constitute an offer to provide investment advisory services by Quantopian.

In addition, the material offers no opinion with respect to the suitability of any security or specific investment. No information contained herein should be regarded as a suggestion to engage in or refrain from any investment-related course of action as none of Quantopian nor any of its affiliates is undertaking to provide investment advice, act as an adviser to any plan or entity subject to the Employee Retirement Income Security Act of 1974, as amended, individual retirement account or individual retirement annuity, or give advice in a fiduciary capacity with respect to the materials presented herein. If you are an individual retirement or other investor, contact your financial advisor or other fiduciary unrelated to Quantopian about whether any given investment idea, strategy, product or service described herein may be appropriate for your circumstances. All investments involve risk, including loss of principal. Quantopian makes no guarantees as to the accuracy or completeness of the views expressed in the website. The views are subject to change, and may have become unreliable for various reasons, including changes in market conditions or economic circumstances.