On the convergence, lock-in probability and sample complexity of stochastic approximation

Details On the convergence, lock-in probability and sample complexity of stochastic approximation On the convergence, lock-in probability and sample complexity of stochastic approximation

2010-07-27

arxiv.org/abs/1007.4684v1

Mathematics

Probability

21 pages. Submitted to SIAM Journal on Control and Optimization

Scientific paper

It is shown that under standard hypotheses, if stochastic approximation iterates remain tight, they converge with probability one to what their o.d.e. limit suggests. A simple test for tightness (and therefore a.s. convergence) is provided. Further, estimates on lock-in probability, i.e., the probability of convergence to a specific attractor of the o.d.e. limit given that the iterates visit its domain of attraction, and sample complexity, i.e., the number of steps needed to be within a prescribed neighborhood of the desired limit set with a prescribed probability, are also provided. The latter improve significantly upon existing results in that they require a much weaker condition on the martingale difference noise.

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