Random tilts to find stationary points in stochastic convex optimization

We consider the problem of finding stationary points of stochastic convex functions and related variational inequalities. For each, we show that regularized empirical risk minimization, coupled with a random tilting perturbation, obtains stationarity residual order √d/n for d-dimensional problems given n observations. We present a few complementary results that show that some dimension dependence is necessary, in distinction from standard stochastic optimization and empirical risk minimization, by providing minimax lower bounds scaling as √log d / n.