Abhishek Ghosh Roy

Online covariance estimation for stochastic gradient descent under Markovian sampling

We investigate the online overlapping batch-means covariance estimator for Stochastic Gradient Descent (SGD) under Markovian sampling. Convergence rates of order $O\big(\sqrt{d}\,n^{-1/8}(\log n)^{1/4}\big)$ and $O\big(\sqrt{d}\,n^{-1/8}\big)$ are established under state-dependen...