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Lower error bounds for the stochastic gradient descent optimization algorithm: Sharp convergence rates for slowly and fast decaying learning rates

Research paper by Arnulf Jentzen, Philippe von Wurstemberger

Indexed on: 22 Mar '18Published on: 22 Mar '18Published in: arXiv - Mathematics - Numerical Analysis



Abstract

The stochastic gradient descent (SGD) optimization algorithm plays a central role in a series of machine learning applications. The scientific literature provides a vast amount of upper error bounds for the SGD method. Much less attention as been paid to proving lower error bounds for the SGD method. It is the key contribution of this paper to make a step in this direction. More precisely, in this article we establish for every $\gamma, \nu \in (0,\infty)$ essentially matching lower and upper bounds for the mean square error of the SGD process with learning rates $(\frac{\gamma}{n^\nu})_{n \in \mathbb{N}}$ associated to a simple quadratic stochastic optimization problem. This allows us to precisely quantify the mean square convergence rate of the SGD method in dependence on the asymptotic behavior of the learning rates.