Factor Augmented High-Dimensional SGD

ArXi:2605.19291v1 Announce Type: cross Stochastic gradient descent (SGD) is a fundamental optimization algorithm widely used in modern machine learning. In this paper, we propose Factor-Augmented SGD (FSGD), a new optimization method that leverages latent factor representations in high-dimensional learning tasks. Unlike standard two-stage dimension reduction approaches that rely on offline representation learning and full data storage, a key novelty of FSGD is that it operates purely on streaming data, making it scalable to large-scale and high-dimensional problems.