Stochastic gradient descent with initial regularization
Nabil Kahalé
Abstract
We analyze a variant of stochastic gradient descent with initial regularization (SGDIR) and derive dimension-free upper bounds on its expected excess risk for the squared loss. In the noiseless case, we obtain new bounds for both averaged and non-averaged SGDIR under moment, source, and capacity assumptions. For a particular value of the source parameter, these bounds are of order $m^{-2}\log^{2}m$, where the number of training samples is of order $m$. For another value of the source parameter, we obtain, for any $ε>0$, bounds of order $m^{-3+ε}$, provided that the capacity parameter exceeds $ε^{-1}$. We also establish a lower bound that matches our upper bounds in certain regimes up to a polylogarithmic factor. In the noisy case, we provide an instance-based comparison between SGDIR and ridge regression. Under general assumptions and a mild lower bound on the regularization parameter, we show that the expected excess risk of SGDIR is no larger than that of ridge regression, up to a polylogarithmic factor. Numerical experiments on synthetic and real data are consistent with our theoretical findings.
Topics
Classified with taxonomy v2 on Wed, 2 Sept 2026.