Nonasymptotic Analysis of Stochastic Gradient Descent with the Richardson-Romberg Extrapolation

• URL: http://arxiv.org/abs/2410.05106v1
• Date: Mon, 7 Oct 2024 15:02:48 GMT
• Title: Nonasymptotic Analysis of Stochastic Gradient Descent with the Richardson-Romberg Extrapolation
• Authors: Marina Sheshukova, Denis Belomestny, Alain Durmus, Eric Moulines, Alexey Naumov, Sergey Samsonov,
• Abstract summary: We address the problem of solving strongly convex and smooth problems using a descent gradient (SGD) algorithm with a constant step size. We provide an expansion of the mean-squared error of the resulting estimator with respect to the number iterations of $n$. We establish that this chain is geometrically ergodic with respect to a defined weighted Wasserstein semimetric.
• Score: 22.652143194356864
• License: http://arxiv.org/licenses/nonexclusive-distrib/1.0/
• Abstract: We address the problem of solving strongly convex and smooth minimization problems using stochastic gradient descent (SGD) algorithm with a constant step size. Previous works suggested to combine the Polyak-Ruppert averaging procedure with the Richardson-Romberg extrapolation technique to reduce the asymptotic bias of SGD at the expense of a mild increase of the variance. We significantly extend previous results by providing an expansion of the mean-squared error of the resulting estimator with respect to the number of iterations $n$. More precisely, we show that the mean-squared error can be decomposed into the sum of two terms: a leading one of order $\mathcal{O}(n^{-1/2})$ with explicit dependence on a minimax-optimal asymptotic covariance matrix, and a second-order term of order $\mathcal{O}(n^{-3/4})$ where the power $3/4$ can not be improved in general. We also extend this result to the $p$-th moment bound keeping optimal scaling of the remainders with respect to $n$. Our analysis relies on the properties of the SGD iterates viewed as a time-homogeneous Markov chain. In particular, we establish that this chain is geometrically ergodic with respect to a suitably defined weighted Wasserstein semimetric.

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