Research
A K M Rokonuzzaman Sonet — Ph.D. Candidate in Financial Mathematics, Florida State University
Overview
I am a Ph.D. candidate in Financial Mathematics at Florida State University, working under the supervision of Dr. Lingjiong Zhu. My research focuses on emergence of heavy tails in stochastic gradient methods, particularly in Stochastic Gradient Descent with momentum (SGDm) and Decentralized Stochastic Gradient Descent (DE-SGD). I am also interested in algorithmic stability and generalization behavior of SGDm and DE-SGD.
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