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Last-Iterate Convergence of Clipped SGD with Linear Decay

Oct 2026 · 0 citations · 3 references
Computer Science Mathematics

Abstract

In this paper, we study the last-iterate convergence of clipped stochastic gradient descent under heavy-tailed noise. We assume that the stochastic gradients are unbiased and that the noise has a bounded central $p$-th moment, where $1<p\le2$. For smooth convex objectives, a linearly decreasing learning rate gives a high-probability error bound of order $O(LR^2\log(1/\delta)/T+\sigma R(\log(1/\delta)/T)^{(p-1)/p})$. We further establish last-iterate guarantees for nonsmooth composite objectives and smooth composite objectives with proximal updates. In addition, when a causal adversary replaces at most $q$ gradients, the same clipped update achieves a bound with $\log(1/\delta)$ replaced by $\log(1/\delta)+q$. The corresponding lower bounds for the clean and corrupted oracle models are also provided.

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