Non-Expansive Two-Time-Scale Stochastic Approximation: A Fixed-Schedule One-Quarter Barrier and Bias-Corrected Acceleration
Dhruv Sarkar, Vaneet Aggarwal
stat.ML, cs.LG
Submitted: 2026-07-15
License: http://creativecommons.org/licenses/by/4.0/
The gist: Non-expansive two-time-scale stochastic approximation is governed by a slow stochastic Krasnoselskii--Mann fixed-point iteration rather than by contraction to a unique equilibrium.
Terminology
Abstract
Non-expansive two-time-scale stochastic approximation is governed by a slow stochastic Krasnoselskii--Mann fixed-point iteration rather than by contraction to a unique equilibrium. We study this regime under a contractive fast map and a non-expansive reduced slow map. We first prove a finite-horizon lower bound showing that, for any prescribed slow stepsize schedule (beta k), the classical KM residual scale (sum i<N beta i(1-beta i))-1 is worst-case sharp for the corresponding unregularized KM update. Combined with the raw fast-tracking leakage scale, this explains the previously observed k-1/4+o(1) last-iterate mean-square residual exponent. We then introduce a residual-preconditioned slow oracle that cancels the first-order dependence on the fast tracking error. In a nested Tikhonov-KM algorithm, the uncorrected oracle yields total-sample rate T-1/4+o(1), while the corrected oracle yields T-1/3+o(1). This improvement comes from changing the slow-oracle bias from first order to second order in the fast error after all inner-loop samples are counted. Finally, we show that the repeated inner-loop cost of the nested method can be avoided in a smooth derivative-oracle model. A single-loop algorithm that tracks both the fast equilibrium and the leakage preconditioner online achieves T-1/2+o(1) with O(1) primitive samples per iteration.
Sources
- Non-Expansive Mappings in Two-Time-Scale Stochastic Approximation: Finite-Time Analysis
- Stochastic Krasnoselskii-Mann Iterations: Convergence without Uniformly Bounded Variance
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