Counterexamples for Noise Models of Stochastic Gradients

Stochastic Gradient Descent (SGD) is a widely used, foundational algorithm in data science and machine learning. As a result, analyses of SGD abound making use of a variety of assumptions, especially on the noise behavior of the stochastic gradients. While recent works have achieved a high-degree of generality on assumptions about the noise behavior of the stochastic gradients, it is unclear that such generality is necessary. In this work, we construct a simple example that shows that less general assumptions will be violated, while the most general assumptions will hold.