Stochastic recursive inclusion in two timescales with an application to the Lagrangian dual problem

DOI10.1080/17442508.2016.1215450zbMATH Open1366.62160arXiv1502.01956OpenAlexW3099504795MaRDI QIDQ2833720FDOQ2833720

Shalabh Bhatnagar, Arunselvan Ramaswamy

Publication date: 25 November 2016

Published in: Stochastics (Search for Journal in Brave)

Abstract: In this paper we present a framework to analyze the asymptotic behavior of two timescale stochastic approximation algorithms including those with set-valued mean fields. This paper builds on the works of Borkar and Perkins & Leslie. The framework presented herein is more general as compared to the synchronous two timescale framework of Perkins & Leslie, however the assumptions involved are easily verifiable. As an application, we use this framework to analyze the two timescale stochastic approximation algorithm corresponding to the Lagrangian dual problem in optimization theory.

Full work available at URL: https://arxiv.org/abs/1502.01956

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zbMATH Keywords

constrained optimizationdifferential inclusionsset-valued dynamical systemsLagrangian dualoptimization and controlstochastic approximation algorithmstwo timescales

Mathematics Subject Classification ID

Stochastic approximation (62L20) Sensitivity, stability, parametric optimization (90C31) Ordinary differential inclusions (34A60) Stochastic systems in control theory (general) (93E03) Stochastic learning and adaptive control (93E35)

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• A Two-Timescale Stochastic Algorithm Framework for Bilevel Optimization: Complexity Analysis and Application to Actor-Critic
• Asynchronous stochastic approximation with differential inclusions
• Stochastic Recursive Inclusions in Two Timescales with Nonadditive Iterate-Dependent Markov Noise

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