Asymptotic behaviour of a class of stochastic approximation procedures

Kiefer-Wolfowitz real Banach space Robbins-Monro unified approach variants of the bounded and the functional law of the iterated logarithm weak and almost sure invariance principles

Mathematics Subject Classification ID

Central limit and other weak theorems (60F05) Strong limit theorems (60F15) Functional limit theorems; invariance principles (60F17) Stochastic approximation (62L20)

Review text

Let \({\mathbb{B}}\) be a real Banach space. Considering stochastic approximation procedures of Robbins-Monro and Kiefer-Wolfowitz type, one is led to recursion formulas of the form \[ U_{k+1}=U_ k-k^{- 1}\Gamma_ kU_ k-k^{-\rho}V_ k-k^{-\eta}T_ k \] \(\rho\) and \(\eta\) positive real numbers, \(U_ k\), \(V_ k\), \(T_ k\) \({\mathbb{B}}\)- valued random variables, \(\Gamma_ k\) random linear operators \({\mathbb{B}}\to {\mathbb{B}}\), where - in addition to some further assumptions - \(\Gamma_ k\to \Gamma\) almost surely and \(T_ k\to T\), say, almost surely. Letting \((Y_{k,n})_{k\in \{1,...,n\}}\), \(n\in {\mathbb{N}}\), be an array of \({\mathbb{B}}\)-valued random variables such that the partial sums \(\sum^{m}_{k=1}V_ k\) and \(\sum^{m}_{k=1}Y_{k,n}\) do not differ too much (uniformly in \(m\in \{1,...,n\})\), we shall investigate the distance of \((U_ m)_{m\in \{1,...,n\}}\) and \((U_ m^{(n)})_{m\in \{1,...,n\}}\), where \[ U^{(n)}_{k+1}:=U_ k^{(n)}-k^{-1}\Gamma U_ k^{(n)}-k^{-\rho}Y_{k,n}-k^{- \eta}T,\quad k\in \{1,...,n-1\}. \] The proofs are based on a deterministic argument that enables us to present a unified approach for proving central limit theorems, weak and almost sure invariance principles and variants of the bounded and the functional law of the iterated logarithm for the sequence \((U_ n)\).

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