Revisiting the central limit theorems for the SGD-type methods

We revisited the central limit theorem (CLT) for stochastic gradient descent (SGD) type methods, including the vanilla SGD, momentum SGD and Nesterov accelerated SGD methods with constant or vanishing damping parameters. By taking advantage of Lyapunov function technique and $L^p$ bound estimates, we established the CLT under more general conditions on learning rates for broader classes of SGD methods compared with previous results. The CLT for the time average was also investigated, and we found that it held in the linear case, while it was not generally true in nonlinear situation. Numerical tests were also carried out to verify our theoretical analysis.