Stabilization of stochastic approximation by step size adaptation
Probability
2010-07-28 v1
Abstract
A scheme for stabilizing stochastic approximation iterates by adaptively scaling the step sizes is proposed and analyzed. This scheme leads to the same limiting differential equation as the original scheme and therefore has the same limiting behavior, while avoiding the difficulties associated with projection schemes. The proof technique requires only that the limiting o.d.e. descend a certain Lyapunov function outside an arbitrarily large bounded set.
Cite
@article{arxiv.1007.4689,
title = {Stabilization of stochastic approximation by step size adaptation},
author = {Sameer Kamal},
journal= {arXiv preprint arXiv:1007.4689},
year = {2010}
}
Comments
15 pages