Finite-Time Analysis of Markov Gradient Descent

DOI10.1109/TAC.2022.3172593MaRDI QIDQ6053252zbMATH OpenOpenAlexFDO

Authors Thinh T. Doan

Publication date 26 September 2023

Published in IEEE Transactions on Automatic Control (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1109/tac.2022.3172593

zbMATH Keywords

gradient methodsMarkov processesoptimization

Mathematics Subject Classification ID

Systems theory; control (93-XX)

Cited in

(4)

• Analysis of stochastic gradient descent in continuous time
• A Markov Chain Theory Approach to Characterizing the Minimax Optimality of Stochastic Gradient Descent (for Least Squares)
• Stochastic-constrained stochastic optimization with Markovian data
• Optimization with Markovian noise: towards optimal rates in strong growth case

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