Finite Sample and Large Deviations Analysis of Stochastic Gradient Algorithm with Correlated Noise

• URL: http://arxiv.org/abs/2410.08449v1
• Date: Fri, 11 Oct 2024 01:38:27 GMT
• Title: Finite Sample and Large Deviations Analysis of Stochastic Gradient Algorithm with Correlated Noise
• Authors: George Yin, Vikram Krishnamurthy,
• Abstract summary: We analyze the finite sample regret of a decreasing step size gradient algorithm. We assume correlated noise and use a perturbed Lyapunov function as a systematic approach for the analysis.
• Score: 15.724207170366846
• License: http://arxiv.org/licenses/nonexclusive-distrib/1.0/
• Abstract: We analyze the finite sample regret of a decreasing step size stochastic gradient algorithm. We assume correlated noise and use a perturbed Lyapunov function as a systematic approach for the analysis. Finally we analyze the escape time of the iterates using large deviations theory.

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