Yunus Alp Biyikoglu

Non-Ergodic Markovian Mirror Descent with Unbounded Noise

We analyze stochastic mirror descent for minimizing a convex objective expressed as an expectation under the stationary distribution of a Markov chain, using noisy subgradient observations along a single sample path. Through Poisson's equation, we decompose the Markovian noise and control its contribution under regular...