How Accurately Can a Gaussian Approximate Stochastic Approximation Iterates?

arXiv:2602.13906v2 Announce Type: replace-cross Abstract: Stochastic approximation (SA) is a method for finding the root of an operator perturbed by noise. The focus of this paper is studying the distribution of SA iterates in finite time. In general, it is not possible to characterize the exact distribution, and therefore our goal is to find an approximation which can yield useful tail bounds. Inspired by the rich literature on the asymptotic normality of rescaled SA iterates, we approximate the pre-limit distributions by a sequence of Gaussians whose covariance is recursively defined. In par

Source: arXiv cs.LG — read the full report at the original publisher.

This is a curated wire item. The Continuum Brief does not republish full third-party articles; this entry links to the original source.