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stat.ML2022
On uniform-in-time diffusion approximation for stochastic gradient descent
Lei Li, Yuliang Wang
The diffusion approximation of stochastic gradient descent (SGD) in current literature is only valid on a finite time interval. In this paper, we establish the uniform-in-time diff…
math.PR2022★ 1 cited
A sharp uniform-in-time error estimate for Stochastic Gradient Langevin Dynamics
Lei Li, Yuliang Wang
We establish a sharp uniform-in-time error estimate for the Stochastic Gradient Langevin Dynamics (SGLD), which is a widely-used sampling algorithm. Under mild assumptions, we obta…