2 research outputs found
Quantitative Central Limit Theorems for Discrete Stochastic Processes
In this paper, we establish a generalization of the classical Central Limit
Theorem for a family of stochastic processes that includes stochastic gradient
descent and related gradient-based algorithms. Under certain regularity
assumptions, we show that the iterates of these stochastic processes converge
to an invariant distribution at a rate of O\lrp{1/\sqrt{k}} where is the
number of steps; this rate is provably tight