Bregman meets L\'evy: Stochastic mirror descent with heavy-tailed noise in continuous and discrete time (arxiv.org)
arXiv:2606.03769v1 Announce Type: cross
Abstract: We study the robustness of stochastic mirror descent (SMD) under heavy-tailed noise, focusing on whether the method retains its convergence guarantees when run with infinite-variance stochastic gradient input. To address this question in a principled manner, we begin by introducing a continuous-time model of SMD as a stochastic differential equation (SDE) driven by a centered L\'evy noise process with finite $p$-th order moments, $1 < p \leq 2$. This scheme -- which we call the L\'evy mirror flow (LMF) -- arises naturally as the scaling limit of SMD in the presence of heavy-tailed noise. In particular, when $p < 2$ -- the heavy noise regime -- the trajectories of LMF generically exhibit jump discontinuities of arbitrary magnitude which, if frequent enough, lead to infinite variance. Nonetheless, despite this highly singular behavior, we show that LMF attains $\epsilon$-optimality within $\mathcal{O}(\epsilon^{-p/(p-1)})$ time in the convex case, and within $\mathcal{\tilde O}(\epsilon^{-1/(p-1)})$ time for (relatively) strongly convex objectives. These guarantees provide a transparent characterization of the impact of frequent long jumps on the convergence of the process, and percolate to a series of matching discrete-time guarantees for several variants of SMD under heavy-tailed noise.
Abstract: We study the robustness of stochastic mirror descent (SMD) under heavy-tailed noise, focusing on whether the method retains its convergence guarantees when run with infinite-variance stochastic gradient input. To address this question in a principled manner, we begin by introducing a continuous-time model of SMD as a stochastic differential equation (SDE) driven by a centered L\'evy noise process with finite $p$-th order moments, $1 < p \leq 2$. This scheme -- which we call the L\'evy mirror flow (LMF) -- arises naturally as the scaling limit of SMD in the presence of heavy-tailed noise. In particular, when $p < 2$ -- the heavy noise regime -- the trajectories of LMF generically exhibit jump discontinuities of arbitrary magnitude which, if frequent enough, lead to infinite variance. Nonetheless, despite this highly singular behavior, we show that LMF attains $\epsilon$-optimality within $\mathcal{O}(\epsilon^{-p/(p-1)})$ time in the convex case, and within $\mathcal{\tilde O}(\epsilon^{-1/(p-1)})$ time for (relatively) strongly convex objectives. These guarantees provide a transparent characterization of the impact of frequent long jumps on the convergence of the process, and percolate to a series of matching discrete-time guarantees for several variants of SMD under heavy-tailed noise.
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