---
abstract: 'We introduce a novel and efficient algorithm called the stochastic approximate gradient descent (SAGD), as an alternative to the stochastic gradient descent for cases where unbiased stochastic gradients cannot be trivially obtained. Traditional methods for such problems rely on general-purpose sampling techniques such as Markov chain Monte Carlo, which typically requires manual intervention for tuning parameters and does not work efficiently in practice. Instead, SAGD makes use of the Langevin algorithm to construct stochastic gradients that are biased in finite steps but accurate asymptotically, enabling us to theoretically establish the convergence guarantee for SAGD. Inspired by our theoretical analysis, we also provide useful guidelines for its practical implementation. Finally, we show that SAGD performs well experimentally in popular statistical and machine learning problems such as the expectation-maximization algorithm and the variational autoencoders.'
author:
- |
    Yixuan Qiu^1^ and Xiao Wang^2^\
    ^1^Department of Statistics and Data Science, Carnegie Mellon University, yixuanq@andrew.cmu.edu\
    ^2^Department of Statistics, Purdue University University, wangxiao@purdue.edu
bibliography:
- 'ref.bib'
title: Stochastic Approximate Gradient Descent via the Langevin Algorithm
---

Introduction
============

The stochastic gradient descent method (SGD, [@bottou2010large]; [@bottou2018optimization]) is one of the most popular and widely-used optimization techniques in large-scale machine learning problems. In many cases, 