Finite Sample and Large Deviations Analysis of Stochastic Gradient Algorithm with Correlated Noise
George Yin, Vikram Krishnamurthy · arXiv (Cornell University) · 2024
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.