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A Markov Chain Theory Approach to Characterizing the Minimax Optimality of Stochastic Gradient Descent (for Least Squares)

Authors Prateek Jain, Sham M. Kakade, Rahul Kidambi, Praneeth Netrapalli, Venkata Krishna Pillutla, Aaron Sidford

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Prateek Jain
Sham M. Kakade
Rahul Kidambi
Praneeth Netrapalli
Venkata Krishna Pillutla
Aaron Sidford

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Prateek Jain, Sham M. Kakade, Rahul Kidambi, Praneeth Netrapalli, Venkata Krishna Pillutla, and Aaron Sidford. A Markov Chain Theory Approach to Characterizing the Minimax Optimality of Stochastic Gradient Descent (for Least Squares). In 37th IARCS Annual Conference on Foundations of Software Technology and Theoretical Computer Science (FSTTCS 2017). Leibniz International Proceedings in Informatics (LIPIcs), Volume 93, pp. 2:1-2:10, Schloss Dagstuhl – Leibniz-Zentrum für Informatik (2018) https://doi.org/10.4230/LIPIcs.FSTTCS.2017.2

Abstract

This work provides a simplified proof of the statistical minimax
optimality of (iterate averaged) stochastic gradient descent (SGD), for
the special case of least squares. This result is obtained by
analyzing SGD as a stochastic process and by sharply characterizing
the stationary covariance matrix of this process.  The finite rate optimality characterization captures the
constant factors and addresses model mis-specification.

Subject Classification

Keywords
  • Stochastic Gradient Descent
  • Minimax Optimality
  • Least Squares Regression

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References

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