Exact Mean Square Linear Stability Analysis for SGD

Abstract: The dynamical stability of optimization methods at the vicinity of minima of the loss has recently attracted significant attention. For gradient descent (GD), stable convergence is possible only to minima that are sufficiently flat w.r.t. the step size, and those have been linked with favorable properties of the trained model. However, while the stability threshold of GD is well-known, to date, no explicit expression has been derived for the exact threshold of stochastic GD (SGD). In this paper, we derive such a closed-form expression. Specifically, we provide an explicit condition on the step size that is both necessary and sufficient for the linear stability of SGD in the mean square sense. Our analysis sheds light on the precise role of the batch size $B$. In particular, we show that the stability threshold is monotonically non-decreasing in the batch size, which means that reducing the batch size can only decrease stability. Furthermore, we show that SGD's stability threshold is equivalent to that of a mixture process which takes in each iteration a full batch gradient step w.p. $1-p$, and a single sample gradient step w.p. $p$, where $p \approx 1/B $. This indicates that even with moderate batch sizes, SGD's stability threshold is very close to that of GD's. We also prove simple necessary conditions for linear stability, which depend on the batch size, and are easier to compute than the precise threshold. Finally, we derive the asymptotic covariance of the dynamics around the minimum, and discuss its dependence on the learning rate. We validate our theoretical findings through experiments on the MNIST dataset.