Convergence and convergence rate of stochastic gradient search in the case of multiple and non-isolated extrema

DOI10.1016/J.SPA.2014.11.001zbMATH Open1357.62274OpenAlexW2084687242MaRDI QIDQ2018557FDOQ2018557

Authors Vladislav B. Tadić 

Publication date 24 March 2015

Published in Stochastic Processes and their Applications (Search for Journal in Brave)

Full work available at URL https://arxiv.org/abs/0907.1020

zbMATH Keywords

convergence ratestochastic gradient methodsconvergence almost sure

Mathematics Subject Classification ID

Stochastic approximation (62L20) Stochastic programming (90C15) Semi-analytic sets, subanalytic sets, and generalizations (32B20)

Abstract: The asymptotic behavior of stochastic gradient algorithms is studied. Relying on results from differential geometry (Lojasiewicz gradient inequality), the single limit-point convergence of the algorithm iterates is demonstrated and relatively tight bounds on the convergence rate are derived. In sharp contrast to the existing asymptotic results, the new results presented here allow the objective function to have multiple and non-isolated minima. The new results also offer new insights into the asymptotic properties of several classes of recursive algorithms which are routinely used in engineering, statistics, machine learning and operations research.

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• ICALAB

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