Online Covariance Estimation in Averaged SGD: Improved Batch-Mean Rates and Minimax Optimality via Trajectory Regression
Organizations: H. Milton Stewart School of Industrial and Systems Engineering, Georgia Institute of Technology
Abstract
We study online covariance matrix estimation for Polyak--Ruppert averaged stochastic gradient descent (SGD). The online batch-means estimator of Zhu, Chen and Wu (2023) achieves an operator-norm convergence rate of , which yields at the optimal learning-rate exponent . A rigorous per-block bias analysis reveals that re-tuning the block-growth parameter improves the batch-means rate to , achieving . The modified estimator requires no Hessian access and preserves memory. We provide a complete error decomposition into variance, stationarity bias, and nonlinearity bias components. A weighted-averaging variant that avoids hard truncation is also discussed. We establish the minimax rate for Hessian-free covariance estimation from the SGD trajectory: a Le Cam lower bound gives , and a trajectory-regression estimator--which estimates the Hessian by regressing SGD increments on iterates--achieves , matching the lower bound. The construction reveals that the bottleneck is the sublinear accumulation of information about the Hessian from the SGD drift.
Figures & tables
| Method | Rate | Hessian? | Online? | Reference |
|---|---|---|---|---|
| Online BM | ( ) | No | Yes | Zhu, Chen and Wu (2023) |
| Online BM (opt. ) | ( ) | No | Yes | This paper |
| Traj. regression | ( ) | No | Yes | This paper |
| Online BM, Markovian | ( ) | No | Yes | Roy and Balasubramanian (2023) |
| Online BM, nonsmooth | ( ) | No | Yes | Jiang et al. (2025) |
| Equal BM | ( ) | No | No | Singh, Shukla and Vats (2025) |
| Variance-limited ( , any ) | Bias-balanced ( , any ) | |
|---|---|---|
| Block growth | ||
| Number of blocks | ||
| Rate |