Power-Law Dynamic Arising from Machine Learning

We study a kind of new SDE that was arisen from the research on optimization in machine learning, we call it power-law dynamic because its stationary distribution cannot have sub-Gaussian tail and obeys power-law. We prove that the power-law dynamic is ergodic with unique stationary distribution, provided the learning rate is small enough. We investigate its first exist time. In particular, we compare the exit times of the (continuous) power-law dynamic and its discretization. The comparison can help guide machine learning algorithm.