Normal Approximation for Stochastic Gradient Descent via Non-Asymptotic Rates of Martingale CLT

Andreas Anastasiou, Krishnakumar Balasubramanian, Murat A. Erdogdu

We provide non-asymptotic convergence rates of the Polyak-Ruppert averaged stochastic gradient descent (SGD) to a normal random vector for a class of twice-differentiable test func…