Stabilization of stochastic approximation by step size adaptation

Details Stabilization of stochastic approximation by step size adaptation Stabilization of stochastic approximation by step size adaptation

2010-07-27

arxiv.org/abs/1007.4689v1

Mathematics

Probability

15 pages

Scientific paper

A scheme for stabilizing stochastic approximation iterates by adaptively scaling the step sizes is proposed and analyzed. This scheme leads to the same limiting differential equation as the original scheme and therefore has the same limiting behavior, while avoiding the difficulties associated with projection schemes. The proof technique requires only that the limiting o.d.e. descend a certain Lyapunov function outside an arbitrarily large bounded set.

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