SGD with Dependent Data: Optimal Estimation, Regret, and Inference

This work investigates the performance of the final iterate produced by stochastic gradient descent (SGD) under temporally dependent data. We consider two complementary sources of dependence: (i) martingale-type dependence in both the covariate and noise processes, which accommodates non-stationary and non-mixing time series data, and (ii) dependence induced by sequential decision making. Our formulation runs in parallel with classical notions of (local) stationarity and strong mixing, while neither framework fully subsumes the other. Remarkably, SGD is shown to automatically accommodate both independent and dependent information under a broad class of stepsize schedules and exploration rate schemes. Non-asymptotically, we show that SGD simultaneously achieves statistically optimal estimation error and regret, extending and improving existing results. In particular, our tail bounds remain sharp even for potentially infinite horizon T=+∞. Asymptotically, the SGD iterates converge to a Gaussian distribution with only an OPP(1/√t) remainder, demonstrating that the supposed estimation-regret trade-off claimed in prior work can in fact be avoided. We further propose a new ``conic'' approximation of the decision region that allows the covariates to have unbounded support. For online sparse regression, we develop a new SGD-based algorithm that uses only d units of storage and requires O(d) flops per iteration, achieving the long term statistical optimality. Intuitively, each incoming observation contributes to estimation accuracy, while aggregated summary statistics guide support recovery.