Convergence rate and averaging of nonlinear two-time-scale stochastic approximation algorithms

Details Convergence rate and averaging of nonlinear two-time-scale stochastic approximation algorithms Convergence rate and averaging of nonlinear two-time-scale stochastic approximation algorithms

2006-10-10

arxiv.org/abs/math/0610329v1

Annals of Applied Probability 2006, Vol. 16, No. 3, 1671-1702

Mathematics

Probability

Published at http://dx.doi.org/10.1214/105051606000000448 in the Annals of Applied Probability (http://www.imstat.org/aap/) by

Scientific paper

10.1214/105051606000000448

The first aim of this paper is to establish the weak convergence rate of nonlinear two-time-scale stochastic approximation algorithms. Its second aim is to introduce the averaging principle in the context of two-time-scale stochastic approximation algorithms. We first define the notion of asymptotic efficiency in this framework, then introduce the averaged two-time-scale stochastic approximation algorithm, and finally establish its weak convergence rate. We show, in particular, that both components of the averaged two-time-scale stochastic approximation algorithm simultaneously converge at the optimal rate $\sqrt{n}$.

Affiliated with

Also associated with

No associations

Rating

Convergence rate and averaging of nonlinear two-time-scale stochastic approximation algorithms does not yet have a rating. At this time, there are no reviews or comments for this scientific paper.

If you have personal experience with Convergence rate and averaging of nonlinear two-time-scale stochastic approximation algorithms, we encourage you to share that experience with our LandOfFree.com community. Your opinion is very important and Convergence rate and averaging of nonlinear two-time-scale stochastic approximation algorithms will most certainly appreciate the feedback.

Rate now

Comments { 0 }

Profile ID: LFWR-SCP-O-438175