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One-dimensional system arising in stochastic gradient descent

Part of: Numerical methods in calculus of variations and optimal control Limit theorems

Published online by Cambridge University Press:  01 July 2021

Konstantinos Karatapanis
Konstantinos Karatapanis*
Affiliation:
University of Pennsylvania
*
*Postal address: University of Pennsylvania, Department of Mathematics, 209 South 33rd Street, United States. Email address: [email protected]
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Abstract

We consider stochastic differential equations of the form $dX_t = |f(X_t)|/t^{\gamma} dt+1/t^{\gamma} dB_t$, where f(x) behaves comparably to $|x|^k$ in a neighborhood of the origin, for $k\in [1,\infty)$. We show that there exists a threshold value $ \,{:}\,{\raise-1.5pt{=}}\, \tilde{\gamma}$ for $\gamma$, depending on k, such that if $\gamma \in (1/2, \tilde{\gamma})$, then $\mathbb{P}(X_t\rightarrow 0) = 0$, and for the rest of the permissible values of $\gamma$, $\mathbb{P}(X_t\rightarrow 0)>0$. These results extend to discrete processes that satisfy $X_{n+1}-X_n = f(X_n)/n^\gamma +Y_n/n^\gamma$. Here, $Y_{n+1}$ are martingale differences that are almost surely bounded.

This result shows that for a function F whose second derivative at degenerate saddle points is of polynomial order, it is always possible to escape saddle points via the iteration $X_{n+1}-X_n =F'(X_n)/n^\gamma +Y_n/n^\gamma$ for a suitable choice of $\gamma$.

Keywords

Stochastic approximationsgradient descentsaddle pointsstochastic differential equations

MSC classification

Primary: 60F15: Strong theorems
Secondary: 49M15: Newton-type methods
Type
Original Article
Information
Advances in Applied Probability , Volume 53 , Issue 2 , June 2021 , pp. 575 - 607
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Copyright
© The Author(s), 2021. Published by Cambridge University Press on behalf of Applied Probability Trust

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