We consider the optimization of a smooth and strongly convex objective using constant step-size stochastic gradient descent (SGD) and study its properties through the prism of Markov chains. We show that, for unbiased gradient estimates with mildly controlled variance, the iteration converges to an invariant distribution in total variation distance. We also establish this convergence in Wasserstein-2 distance under a relaxed assumption on the gradient noise distribution compared to previous work. Thanks to the invariance property of the limit distribution, our analysis shows that the latter inherits sub-Gaussian or sub-exponential concentration properties when these hold true for the gradient. This allows the derivation of high-confidence bounds for the final estimate. Finally, under such conditions in the linear case, we obtain a dimension-free deviation bound for the Polyak-Ruppert average of a tail sequence. All our results are non-asymptotic and their consequences are discussed through a few applications.

本文研究在强凸光滑目标下使用常数步长随机梯度下降的优化问题，通过马洛夫链的视角对其性质进行研究，证明了当梯度噪音分布满足一定条件时，该迭代过程以总变差距离或Wasserstein-2距离收敛于一个不变分布，同时证明了该极限分布具有次高斯或次指数分布的浓度性质；最后针对一些具体应用，推导出了高可信度界限。

通过马尔可夫链实现常数步长SGD的收敛和集中特性