Simple and optimal high-probability bounds for strongly-convex stochastic gradient descent

2 Sep 2019Nicholas J. A. HarveyChristopher LiawSikander Randhawa

We consider stochastic gradient descent algorithms for minimizing a non-smooth, strongly-convex function. Several forms of this algorithm, including suffix averaging, are known to achieve the optimal $O(1/T)$ convergence rate in expectation... (read more)

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