A strong approximation theorem for stochastic recursive algorithms

DOI10.1023/A:1022630321574MaRDI QIDQ1289391zbMATH OpenFDO

Authors Vivek Borkar, Sanjoy K. Mitter

Publication date 28 November 2000

Published in Journal of Optimization Theory and Applications (Search for Journal in Brave)

zbMATH Keywords

asymptotic behaviorstochastic algorithmsapproximation of stochastic differential equationsconstant stepsize algorithms

Mathematics Subject Classification ID

Stochastic approximation (62L20) Estimation and detection in stochastic control theory (93E10)

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Cites work

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• Mimicking the one-dimensional marginal distributions of processes having an Ito differential
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Cited in

(9)

• Swarm gradient dynamics for global optimization: the mean-field limit case
• scientific article; zbMATH DE number 1946759 (Why is no real title available?)
• Global convergence of stochastic gradient Hamiltonian Monte Carlo for nonconvex stochastic optimization: nonasymptotic performance bounds and momentum-based acceleration
• Improving sampling accuracy of stochastic gradient MCMC methods via non-uniform subsampling of gradients
• Large deviations for a class of recursive algorithms
• A generalization of the Borkar-Meyn theorem for stochastic recursive inclusions
• A general view on double limits in differential equations
• Stochastic approximation algorithms: overview and recent trends.
• Stability of annealing schemes and related processes

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