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Online statistical inference for parameters estimation with linear-equality constraints

Author

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  • Liu, Ruiqi
  • Yuan, Mingao
  • Shang, Zuofeng

Abstract

Stochastic gradient descent (SGD) and projected stochastic gradient descent (PSGD) are scalable algorithms to compute model parameters in unconstrained and constrained optimization problems. In comparison with SGD, PSGD forces its iterative values into the constrained parameter space via projection. From a statistical point of view, this paper studies the limiting distribution of PSGD-based estimate when the true parameters satisfy some linear-equality constraints. Our theoretical findings reveal the role of projection played in the uncertainty of the PSGD-based estimate. As a byproduct, we propose an online hypothesis testing procedure to test the linear-equality constraints. Simulation studies on synthetic data and an application to a real-world dataset confirm our theory.

Suggested Citation

  • Liu, Ruiqi & Yuan, Mingao & Shang, Zuofeng, 2022. "Online statistical inference for parameters estimation with linear-equality constraints," Journal of Multivariate Analysis, Elsevier, vol. 191(C).
    • Handle: RePEc:eee:jmvana:v:191:y:2022:i:c:s0047259x22000422
    DOI: 10.1016/j.jmva.2022.105017
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