High-probability Convergence Bounds for Online Nonlinear Stochastic Gradient Descent under Heavy-tailed Noise
We study high-probability convergence in online learning, in the presence of heavy-tailed noise. To combat the heavy tails, a general framework of nonlinear SGD methods is considered, subsuming several popular nonlinearities like sign, quantization, component-wise and joint clipping. In our work the…