Uniform-in-Time Weak Error Analysis for Stochastic Gradient Descent Algorithms via Diffusion Approximation

2 Feb 2019Yuanyuan FengTingran GaoLei LiJian-Guo LiuYulong Lu

Diffusion approximation provides weak approximation for stochastic gradient descent algorithms in a finite time horizon. In this paper, we introduce new tools motivated by the backward error analysis of numerical stochastic differential equations into the theoretical framework of diffusion approximation, extending the validity of the weak approximation from finite to infinite time horizon... (read more)

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