Bogdan Butyrin

Bogdan Butyrin, Eric Moulines, Alexey Naumov et al.

In this paper, we refine the Berry-Esseen bounds for the multivariate normal approximation of Polyak-Ruppert averaged iterates arising from the linear stochastic approximation (LSA) algorithm with decreasing step size. We consider the normal approximation by the Gaussian distribution with covariance matrix predicted by the Polyak-Juditsky central limit theorem and establish the rate up to order $n^{-1/3}$ in convex distance, where $n$ is the number of samples used in the algorithm. We also prove a non-asymptotic validity of the multiplier bootstrap procedure for approximating the distribution of the rescaled error of the averaged LSA estimator. We establish approximation rates of order up to $1/\sqrt{n}$ for the latter distribution, which significantly improves upon the previous results obtained by Samsonov et al. (2024).

Bogdan Butyrin, Artemy Rubtsov, Alexey Naumov et al.

In this paper, we establish non-asymptotic bounds for accuracy of normal approximation for linear two-timescale stochastic approximation (TTSA) algorithms driven by martingale difference or Markov noise. Focusing on both the last iterate and Polyak-Ruppert averaging regimes, we derive bounds for normal approximation in terms of the convex distance between probability distributions. Our analysis reveals a non-trivial interaction between the fast and slow timescales: the normal approximation rate for the last iterate improves as the timescale separation increases, while it decreases in the Polyak-Ruppert averaged setting. We also provide the high-order moment bounds for the error of linear TTSA algorithm, which may be of independent interest.