Functional Central Limit Theorem for Two Timescale Stochastic Approximation

arXiv2306.05723MaRDI QIDQ6439754FDOQ6439754

Authors: Fathima Zarin Faizal, Vivek Borkar 

Publication date: 9 June 2023

Abstract: Two time scale stochastic approximation algorithms emulate singularly perturbed deterministic differential equations in a certain limiting sense, i.e., the interpolated iterates on each time scale approach certain differential equations in the large time limit when viewed on the `algorithmic time scale' defined by the corresponding step sizes viewed as time steps. Their fluctuations around these deterministic limits, after suitable scaling, can be shown to converge to a Gauss-Markov process in law for each time scale. This turns out to be a linear diffusion for the faster iterates and an ordinary differential equation for the slower iterates.

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