Stochastic Gradient Descent with Adaptive Data
研究了当数据由策略依赖的马尔可夫过程自适应生成时，随机梯度下降仍能达到与经典独立同分布情形相当的收敛速度，为运筹学和强化学习中的动态学习算法提供了理论基础。
Stochastic Gradient Descent with Adaptive Data Stochastic gradient descent (SGD) is a central tool in modern optimization, but its classical theory relies on the assumption that data are independent of the decisions being optimized. In many operations research settings, this assumption fails: policies influence system dynamics, and the resulting data feed back into subsequent updates. In “Stochastic Gradient Descent with Adaptive Data,” Che, Dong, and Tong address this challenge by developing a general framework for analyzing SGD when data are generated adaptively by policy-dependent Markov processes. Their analysis shows that fully adaptive SGD can still attain convergence rates comparable to the classical i.i.d. setting, provided the underlying system satisfies mild ergodicity and continuity conditions. The theory is illustrated through canonical applications in operations research and reinforcement learning. Overall, the paper provides rigorous and reassuring theoretical foundations for deploying learning algorithms in dynamic environments where decisions and data are fundamentally intertwined.