I will discuss two papers. 1. Modern statistical inference tasks often require iterative optimization methods to compute the solution. Convergence analysis from an optimization viewpoint only informs us how well the solution is approximated numerically but overlooks the sampling nature of the data. In contrast, recognizing the randomness in the data, statisticians are keen to provide uncertainty quantification, or confidence, for the solution obtained using iterative optimization methods. This paper makes progress along this direction by introducing the moment-adjusted stochastic gradient descents, a new stochastic optimization method for statistical inference. We establish non-asymptotic theory that characterizes the statistical distribution for certain iterative methods with optimization guarantees. On the statistical front, the theory allows for model mis-specification, with very mild conditions on the data. For optimization, the theory is flexible for both convex and non-convex cases. Remarkably, the moment adjusting idea motivated from “error standardization” in statistics achieves a similar effect as acceleration in first-order optimization methods used to fit generalized linear models. We also demonstrate this acceleration effect in the non-convex setting through numerical experiments. 2. We study the detailed path-wise behavior of the discrete-time Langevin algorithm for non-convex Empirical Risk Minimization (ERM) through the lens of metastability. For a particular local optimum of the empirical risk, with an \textit{arbitrary initialization}, we show that, with high probability, at least one of the following two events will occur: (1) the Langevin trajectory ends up somewhere outside the $\eps$-neighborhood of this particular optimum within a short \textit{recurrence time}; (2) it enters this $\eps$-neighborhood by the recurrence time and stays there until a potentially exponentially long \textit{escape time}. We call this phenomenon \textit{empirical metastability}. This two-timescale characterization aligns nicely with the existing literature in the following two senses. First, the effective recurrence time (i.e., number of iterations multiplied by stepsize) is dimension-independent, and resembles the convergence time of continuous-time deterministic Gradient Descent (GD). However unlike GD, the Langevin algorithm does not require strong conditions on local initialization, and has the possibility of eventually visiting all optima. Second, the scaling of the escape time is consistent with the Eyring-Kramers law, which states that the Langevin scheme will eventually visit all local minima, but it will take an exponentially long time to transit among them. We apply this path-wise concentration result in the context of statistical learning to examine local notions of generalization and optimality.

Joint statistics seminar, Dept. of Information Systems, Business Statistics and Operations Research and Dept. of Mathematics
Room 4047