Research
A K M Rokonuzzaman Sonet — Ph.D. in Financial Mathematics, Florida State University
Overview
I earned my Ph.D. in Financial Mathematics from Florida State University, working under the supervision of Dr. Lingjiong Zhu. My research focuses on algorithmic stability and generalization of heavy-tailed stochastic gradient algorithms, particularly Stochastic Gradient Descent with momentum (SGDm). I am also interested in emergence of heavy tails in SGDm and decentralized stochastic gradient descent (DE-SGD) methods.
Research Interests
- Stochastic Optimization and Machine Learning Theory
- Algorithmic Stability and Generalization
- Data Science
- Computational Finance and Derivatives Pricing
- Financial Risk Management
Current Research Projects
- Heavy-tailed Dynamics in Stochastic Gradient Descent with Momentum (SGDm) — analyzing tail indices and stability properties.
- Decentralized SGD — investigating heavy-tail emergence in the homogenized version and the effect of network geometry on optimization dynamics.
Publications & Preprints
- Thanh Dang, Melih Barsbey, A K M Rokonuzzaman Sonet, Mert Gurbuzbalaban, Umut Simsekli, & Lingjiong Zhu (2025). Algorithmic Stability of Stochastic Gradient Descent with Momentum under Heavy-Tailed Noise. arXiv:2502.00885