Necessary and Sufficient Geometries for Gradient Methods

We study the impact of the constraint set and gradient geometry on the convergence of online and stochastic methods for convex optimization, providing a characterization of the geometries for which stochastic gradient and adaptive gradient methods are (minimax) optimal. In particular, we show that when the constraint set is quadratically convex, diagonally pre-conditioned stochastic gradient methods are minimax optimal.