Ergodic mirror descent

John C. Duchi, Alekh Agarwal, Mikael Johansson, Michael I. Jordan

Abstract: We generalize stochastic subgradient methods to situations in which we do not receive independent samples from the distribution over which we optimize, but instead receive samples that are coupled over time. We show that as long as the source of randomness is suitably ergodic-it converges quickly enough to a stationary distribution-the method enjoys strong convergence guarantees, both in expectation and with high probability. This result has implications for high-dimensional stochastic optimization, peer-to-peer distributed optimization schemes, and stochastic optimization problems over combinatorial spaces.