Artificial Intelligence · 03.08.2026, 09:48 UTC
Statistical Inference for Stochastic Gradient Descent: Beyond Finite Variance
| Schweregrad | info |
|---|---|
| Kategorie | Artificial Intelligence |
| Quelle | arXiv cs.LG ↗ |
| Veröffentlicht | 03.08.2026 UTC |
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arXiv:2605.26000v2 Announce Type: replace-cross Abstract: Stochastic gradient descent (SGD) is foundational to large-scale statistical learning and stochastic optimization. However, in some modern statistical learning problems, stochastic gradients can exhibit infinite-variance behavior. Consequently, classical inference methods for SGD that rely on a finite-variance assumption break down. We develop a model-agnostic methodology for constructing confidence regions from SGD iterates in both the finite- and infinite-variance regimes. We first show that Polyak--Ruppert averaging has an asymptotic directional scale no larger than that of the fastest-rate final iterate, analogous to its lower asymptotic variance in the finite-variance setting. Accordingly, we focus our inference methodology on the Polyak--Ruppert averaged estimator. Specifically, we establish a joint central limit theorem for this estimator and an empirical second-moment normalizer from the same iterates. This joint limit yields a self-normalized statistic in which the leading tail-dependent scaling terms cancel. We then use subsampling to estimate the relevant quantiles, avoiding explicit estimation of nuisance parameters including tail indices, slowly varying functions, or stable-law parameters. The resulting confidence regions are straightforward to implement and asymptotically valid in both the finite- and infinite-variance regimes. Empirical studies show reliable coverage in various settings, supporting the proposed method as a practical tool for uncertainty quantification in stochastic optimization.