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A Tight Lower Bound for Smooth Nonconvex Stochastic Optimization with Bounded Gradient Noise

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We prove a sharp lower bound for smooth nonconvex stochastic optimization with uniformly bounded gradient noise. In the \(K=1\) fresh-sample model, every randomized adaptive algorithm requires $$Ω\left( \frac{ΔL}{ε^2} + \frac{ΔLσ^2}{ε^4} \right)$$ queries to find a point with expected gradient norm at most \(ε\).

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arXiv Machine Learning
Jul 2

Towards Weaker Variance Assumptions for Stochastic Optimization

arXiv:2504. 09951v2 Announce Type: replace-cross Abstract: We revisit a classical assumption for analyzing stochastic gradient algorithms where the squared norm of the stochastic subgradient (or the variance for smooth problems) is allowed to grow as fast as the squared norm of the optimization variable.

By Ahmet Alacaoglu, Yura Malitsky, Stephen J. Wright