Geometric Moment Contraction for Stochastic Nesterov Acceleration
Abstract
We study geometric moment contraction (GMC) of the constant-parameter stochastic Nesterov recursion
Under mean strong monotonicity and stochastic Lipschitz continuity, an explicit Perron comparison proves synchronous contraction when . This direct criterion includes infinite-variance gradients for , but its small-step regime requires . A complementary power-Lyapunov argument establishes a positive, generally much smaller, step-size interval for every fixed and every , using only a finite th gradient moment. At , a simpler explicit certificate gives
Its quadratic high-momentum scaling is a limitation of the chosen metric, not a sharp stability boundary. We quantify this loss, provide a general mean-only quadratic -procedure, and exploit endpoint Lyapunov inequalities under stronger samplewise sector information. Verified endpoint certificates can be orders of magnitude less conservative than the explicit metric.
Figures & tables
| Reference | Algorithm/regime | Main object | Difference from the present paper |
|---|---|---|---|
| Chen and Wu (2016) | Nonlinear AR( ); finite-lag special cases | Stochastic-Lipschitz stability, functional dependence, CLT and scalar strong approximation | Direct predecessor; the AR(2) specialization gives . Signed Nesterov metrics yield additional regimes. |
| Can et al. (2019) | HB, NAG, APG; constant | Wasserstein convergence to an invariant law | Structured oracle and finite-variance control; no direct nonlinear synchronous GMC or physical-dependence limit theory. |
| Assran and Rabbat (2020) | NAG; constant | Optimization error and steady-state neighborhood | Smooth strongly convex objectives with bounded variance; does not identify a causal GMC process or arbitrary-initialization CLT. |
| Gitman et al. (2019) | Unified momentum; local quadratic | Stability and stationary covariance | Local linearization rather than global nonlinear contraction. |
| Gadat et al. (2018) ; Barakat et al. (2021) | Heavy ball/general momentum; decreasing gains | Convergence, fluctuations, trap avoidance | Vanishing-step asymptotics rather than a fixed-parameter invariant process. |
| Li et al. (2023) ; Tang et al. (2023) | SGD, momentum, NAG | CLTs and averaged-iterate asymptotics | Primarily decreasing gains/local asymptotics; no GMC construction for the constant NAG state. |
| Ratio | ||||
|---|---|---|---|---|
| 1.5 | 0.50 | 0.566242 | 0.222222 | 2.5 |
| 1.5 | 0.80 | 0.404160 | 0.024024 | 16.8 |
| 1.5 | 0.90 | 0.334987 | 0.005168 | 64.8 |
| 1.5 | 0.95 | 0.289680 | 0.001198 | 241.8 |
| 1.5 | 0.99 | 0.239403 | 0.000045 | 5306.3 |
| 3 | 0.50 | 0.119297 | 0.055556 | 2.1 |
| Initial pair | Mean | Standard deviation | Exact initial shift | Coverage |
|---|---|---|---|---|
| -0.0165 | 1.0080 | -0.0225 | 0.9463 | |
| 0.0060 | 1.0080 | 0.0000 | 0.9483 | |
| 0.0285 | 1.0080 | 0.0225 | 0.9477 |
| Exact marginal variance | Estimated marginal variance | Estimated long-run variance | |
|---|---|---|---|
| 0.00 | 0.25000 | 0.24997 (0.00029) | 0.9931 (0.0163) |
| 0.30 | 0.29368 | 0.29371 (0.00028) | 1.0110 (0.0220) |
| 0.50 | 0.33766 | 0.33746 (0.00046) | 1.0196 (0.0199) |
| 0.70 | 0.40136 | 0.40157 (0.00033) | 1.0003 (0.0141) |
| 0.90 | 0.49968 | 0.50043 (0.00066) | 1.0475 (0.0172) |
| 0.95 | 0.53302 | 0.53283 (0.00047) | 0.9540 (0.0187) |
Stochastic Optimization Convergence
Stochastic optimization convergence studies how noisy, sampled, or delayed updates approach solutions and how fast they do so.
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