Error estimates between SGD with momentum and underdamped Langevin diffusion
Machine Learning
2024-10-24 v1 Machine Learning
Probability
Abstract
Stochastic gradient descent with momentum is a popular variant of stochastic gradient descent, which has recently been reported to have a close relationship with the underdamped Langevin diffusion. In this paper, we establish a quantitative error estimate between them in the 1-Wasserstein and total variation distances.
Cite
@article{arxiv.2410.17297,
title = {Error estimates between SGD with momentum and underdamped Langevin diffusion},
author = {Arnaud Guillin and Yu Wang and Lihu Xu and Haoran Yang},
journal= {arXiv preprint arXiv:2410.17297},
year = {2024}
}