Analysis of Approximate Stochastic Gradient Using Quadratic Constraints and Sequential Semidefinite Programs


We present convergence rate analysis for the approximate stochastic gradient method, where individual gradient updates are corrupted by computation errors. We develop stochastic quadratic constraints to formulate a small linear matrix inequality (LMI) whose feasible set characterizes convergence properties of the approximate stochastic gradient. Based on this LMI condition, we develop a sequential minimization approach to analyze the intricate trade-offs that couple stepsize selection, convergence rate, optimization accuracy, and robustness to gradient inaccuracy. We also analytically solve this LMI condition and obtain theoretical formulas that quantify the convergence properties of the approximate stochastic gradient under various assumptions on the loss functions.


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