High-dimensional scaling limits and fluctuations of online least-squares SGD with smooth covariance

We derive high-dimensional scaling limits and fluctuations for the online least-squares Stochastic Gradient Descent (SGD) algorithm by taking the properties of the data generating model explicitly into consideration. Our approach treats the SGD iterates as an interacting particle system, where the expected interaction is characterized by the covariance structure of the input. Assuming smoothness conditions on moments of order up to eight orders, and without explicitly assuming Gaussianity, we establish the high-dimensional scaling limits and fluctuations in the form of infinite-dimensional Ordinary Differential Equations (ODEs) or Stochastic Differential Equations (SDEs). Our results reveal a precise three-step phase transition of the iterates; it goes from being ballistic, to diffusive, and finally to purely random behavior, as the noise variance goes from low, to moderate and finally to very-high noise setting. In the low-noise setting, we further characterize the precise fluctuations of the (scaled) iterates as infinite-dimensional SDEs. We also show the existence and uniqueness of solutions to the derived limiting ODEs and SDEs. Our results have several applications, including characterization of the limiting mean-square estimation or prediction errors and their fluctuations which can be obtained by analytically or numerically solving the limiting equations.