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

DOI10.1080/17442508.2016.1215450MaRDI QIDQ2833720zbMATH OpenOpenAlexFDO

Authors Arunselvan Ramaswamy, Shalabh Bhatnagar

Publication date 25 November 2016

Published in Stochastics (Search for Journal in Brave)

Full work available at URL https://arxiv.org/abs/1502.01956, http://www.tandfonline.com/doi/abs/10.1080/17442508.2016.1215450

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)

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.

Recommendations

• Stochastic Recursive Inclusions in Two Timescales with Nonadditive Iterate-Dependent Markov Noise
• A stability criterion for two timescale stochastic approximation schemes
• Convergence rate of linear two-time-scale stochastic approximation.
• Convergence rate and averaging of nonlinear two-time-scale stochastic approximation algo\-rithms
• Asynchronous stochastic approximation with differential inclusions

Cited in

(3)

• 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

This page was built for publication: Stochastic recursive inclusion in two timescales with an application to the Lagrangian dual problem

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q2833720)