This work considers a rather general and broad class of Markov chains, Ito chains that look like Euler-Maryama discretization of some Stochastic Differential Equation. The chain we study is a unified framework for theoretical analysis. It comes with almost arbitrary isotropic and state-dependent noise instead of normal and state-independent one, as in most related papers. Moreover, the drift and diffusion coefficient in our chain can be inexact to cover a wide range of applications such as Stochastic Gradient Langevin Dynamics, sampling, Stochastic Gradient Descent, or Stochastic Gradient Boosting. We prove the bound in $\mathcal{W}_2$-distance between the laws of our Ito chain and the corresponding differential equation. These results improve or cover most of the known estimates. Moreover, for some particular cases, our analysis is the first.
Ito Diffusion Approximation of Universal Ito Chains for Sampling, Optimization and Boosting
Aleksei Ustimenko Aleksandr Beznosikov