Uniform-in-Time Wasserstein Stability Bounds for (Noisy) Stochastic Gradient Descent

Algorithmic stability is an important notion that has proven powerful for deriving generalization bounds for practical algorithms. The last decade has witnessed an increasing number of stability bounds for different algorithms applied on different classes of loss functions. While these bounds have illuminated various properties of optimization algorithms, the analysis of each case typically required a different proof technique with significantly different mathematical tools. In this study, we make a novel connection between learning theory and applied probability and introduce a unified guideline for proving Wasserstein stability bounds for stochastic optimization algorithms. We illustrate our approach on stochastic gradient descent (SGD) and we obtain time-uniform stability bounds (i.e., the bound does not increase with the number of iterations) for strongly convex losses and non-convex losses with additive noise, where we recover similar results to the prior art or extend them to more general cases by using a single proof technique.