Quasi-Stationary Distributions for Stochastic Approximation Algorithms with constant step size
Probability
2013-05-03 v2
Abstract
In this paper we investigate quasi-stationary distributions {\mu}_N of stochastic approximation algorithms with constant step size which can be viewed as random perturbations of a time-continuous dynamical system. Inspired by ecological models these processes have a closed absorbing set corresponding to extinction. Under some large deviation assumptions and the existence of an interior attractor for the ODE, we show that the weak* limit points of the QSD {\mu}_N are invariant measures for the ODE with support in the interior attractors.
Cite
@article{arxiv.1303.7081,
title = {Quasi-Stationary Distributions for Stochastic Approximation Algorithms with constant step size},
author = {Bastien Marmet},
journal= {arXiv preprint arXiv:1303.7081},
year = {2013}
}