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Asymptotic Behaviors and Phase Transitions in Projected Stochastic Approximation: A Jump Diffusion Approach

In this paper we consider linearly constrained optimization problems and propose a loopless projection stochastic approximation (LPSA) algorithm. It performs the projection with probability $p_n$ at the $n$-th iteration to ensure feasibility. Considering a specific family of the probability $p_n$ and step size $\eta_n$, we analyze our algorithm from an asymptotic and continuous perspective. Using a novel jump diffusion approximation, we show that the trajectories connecting those properly rescaled last iterates weakly converge to the solution of specific stochastic differential equations (SDEs). By analyzing SDEs, we identify the asymptotic behaviors of LPSA for different choices of $(p_n, \eta_n)$. We find that the algorithm presents an intriguing asymptotic bias-variance trade-off and yields phase transition phenomenons, according to the relative magnitude of $p_n$ w.r.t. $\eta_n$. This finding provides insights on selecting appropriate ${(p_n, \eta_n)}_{n \geq 1}$ to minimize the projection cost. Additionally, we propose the Debiased LPSA (DLPSA) as a practical application of our jump diffusion approximation result. DLPSA is shown to effectively reduce projection complexity compared to vanilla LPSA.

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