Stochastic Gradient Descent Revisited

Stochastic gradient descent (SGD) has been a go-to algorithm for nonconvex stochastic optimization problems arising in machine learning. Its theory however often requires a strong framework to guarantee convergence properties. We hereby present a full scope convergence study of biased nonconvex SGD, including weak convergence, function-value convergence and global convergence, and also provide subsequent convergence rates and complexities, all under relatively mild conditions in comparison with literature.