Asymptotic behavior of stochastic approximation and large deviations

DOI10.1109/TAC.1984.1103434MaRDI QIDQ3222102zbMATH OpenFDO

Authors Harold J. Kushner

Publication date 1984

Published in IEEE Transactions on Automatic Control (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1109/TAC.1984.1103434

zbMATH Keywords

asymptotic propertieslarge deviationsstochastic approximation algorithms

Mathematics Subject Classification ID

Large deviations (60F10) Stochastic approximation (62L20) Stochastic systems in control theory (general) (93E03)

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(14)

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• Large deviations analysis of some recursive algorithms with state dependent noise
• Computation of the exact asymptotic behavior of certain Gaussian large deviations
• Stochastic approximation algorithms: Nonasymptotic estimation of their convergence rates
• Conditional tail probabilities in continuous-time martingale LLN with application to parameter estimation in diffusions
• On large deviations for approximations of SDEs
• Empirical measure large deviations for reinforced chains on finite spaces
• Linear stochastic approximation driven by slowly varying Markov chains
• Large deviations and rare events in the study of stochastic algorithms
• Stochastic Approximations via Large Deviations: Asymptotic Properties
• Un exemple d'application des grandes déviations à l'approximation stochastique
• Stochastic Approximation and Large Deviations: Upper Bounds and <scp>w.p.1</scp> Convergence
• High‐dimensional limit theorems for SGD: Effective dynamics and critical scaling
• Large deviations for empirical measures of self-interacting Markov chains

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