L^p and almost sure rates of convergence of averaged stochastic gradient algorithms: locally strongly convex objective

Institut de Mathématiques de Toulouse, Université Paul Sabatier, Toulouse, France.

^* Corresponding author: antoine.godichon_baggioni@upmc.fr

Received: 7 September 2018
Accepted: 14 June 2019

Abstract

An usual problem in statistics consists in estimating the minimizer of a convex function. When we have to deal with large samples taking values in high dimensional spaces, stochastic gradient algorithms and their averaged versions are efficient candidates. Indeed, (1) they do not need too much computational efforts, (2) they do not need to store all the data, which is crucial when we deal with big data, (3) they allow to simply update the estimates, which is important when data arrive sequentially. The aim of this work is to give asymptotic and non asymptotic rates of convergence of stochastic gradient estimates as well as of their averaged versions when the function we would like to minimize is only locally strongly convex.