Stochastic Minimization with Constant Step-Size: Asymptotic Laws

DOI10.1137/0324039zbMATH Open0594.90089OpenAlexW1991238514MaRDI QIDQ3725895FDOQ3725895

Authors: Georg Ch. Pflug 

Publication date: 1986

Published in: SIAM Journal on Control and Optimization (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1137/0324039

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zbMATH Keywords

asymptotic distributionstationary distributionMarkovian processconstant step-size constant gainconstrained stochastic approximation process

Mathematics Subject Classification ID

Stochastic programming (90C15) Markov and semi-Markov decision processes (90C40)

Cited In (12)

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• Constant step stochastic approximations involving differential inclusions: stability, long-run convergence and applications
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• A Markov Chain Theory Approach to Characterizing the Minimax Optimality of Stochastic Gradient Descent (for Least Squares)
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• Asymptotic behavior of constrained stochastic approximations via the theory of large deviations
• Stochastic algorithms for the estimation of an optimal solution of a LP problem. Convergence and central limit theorem
• Non-asymptotic confidence bounds for stochastic approximation algorithms with constant step size
• Sampling from a log-concave distribution with projected Langevin Monte Carlo
• Bridging the gap between constant step size stochastic gradient descent and Markov chains
• Estimation of an optimal solution of a LP problem with unknown objective function
• Stochastic approximation algorithms: overview and recent trends.

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