Beyond Optimal Rates in Stochastic Optimization: Trajectory-Adaptive Stopping Rules

Abstract:Stochastic gradient descent (SGD) is typically analyzed at a deterministic horizon chosen before the algorithm is run, even though practical stopping decisions are made adaptively by inspecting the evolving trajectory. This mismatch creates a fundamental certification problem: fixed-time guarantees do not generally remain valid at data-dependent stopping times, while deterministic horizons derived from worst-case bounds can be highly conservative. We address this problem for strongly convex stochastic optimization by constructing fully observable, trajectory-adaptive upper confidence sequences for the squared distance of the last iterate to the optimizer and the suboptimality of a weighted average. These bounds hold simultaneously over time, attain the optimal $1/t$ decay rate up to iterated-logarithmic factors in the worst case, and adapt to the realized stochastic gradients, allowing SGD to stop as soon as a prescribed accuracy is certified without sacrificing statistical validity. Our approach treats the evolving SGD trajectory as a sequential experiment whose observations provide evidence about the unknown optimization error. To formalize this perspective, we develop new recursive confidence-sequence techniques and a general time-uniform empirical Bernstein inequality for adapted processes with time-varying conditional means and predictable ranges that may grow without bound. We further extend these confidence-sequence constructions to minibatch SGD, with the empirical Bernstein bounds exploiting the realized second-moment structure within each minibatch. Numerical experiments show that the resulting stopping rules can require several orders of magnitude fewer iterations than natural deterministic horizons.

Machine Learning (cs.LG); Optimization and Control (math.OC); Statistics Theory (math.ST); Machine Learning (stat.ML)

arXiv:2608.25551 [cs.LG]

(or arXiv:2608.25551v1 [cs.LG] for this version)

https://doi.org/10.48550/arXiv.2608.25551 Focus to learn more arXiv-issued DOI via DataCite (pending registration)

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