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arXiv · 2410.08449

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

George Yin·Vikram Krishnamurthy
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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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George Yin, Vikram Krishnamurthy. 2024-10-11. Finite Sample and Large Deviations Analysis of Stochastic Gradient Algorithm with Correlated Noise. https://arxiv.org/abs/2410.08449

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