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A Rate Transfer Method: Convergence Rates in Stochastic Gradient Descent via Stochastic Calculus

2026-10-13 17:09:46
Neil Walton
arXiv_AI
     
Abstract

We develop a rate-transfer method that converts finite-time Lyapunov estimates for an associated stochastic differential equation (SDE) into finite-time convergence bounds for stochastic gradient algorithms. Under generic moment and smoothness conditions, the convergence analysis of the stochastic gradient method reduces to a calculus argument verifying a Lyapunov generator inequality for the SDE. The method recovers established rates for classical stochastic gradient methods and provides a way to establish convergence rates for new optimization algorithms through calculus arguments applied to their associated SDEs.

Abstract (translated)

URL

https://arxiv.org/abs/2610.18739

PDF

https://arxiv.org/pdf/2610.18739.pdf

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