Continuous and Discrete-time Accelerated Stochastic Mirror Descent for Strongly Convex Functions

We provide a second-order stochastic differential equation (SDE), which characterizes the continuous-time dynamics of accelerated stochastic mirror descent (ASMD) for strongly convex functions. This SDE plays a central role in designing new discrete-time ASMD algorithms via numerical discretization and providing neat analyses of their convergence rates based on Lyapunov functions. Our results suggest that the only existing ASMD algorithm, namely, AC-SA proposed in Ghadimi & Lan (2012) is one instance of its kind, and we can derive new instances of ASMD with fewer tuning parameters. This sheds light on revisiting accelerated stochastic optimization through the lens of SDEs, which can lead to a better understanding as well as new simpler algorithms of acceleration in stochastic optimization. Numerical experiments on both synthetic and real data support our theory.