Deviation inequalities for stochastic approximation by averaging
Probability
2022-09-16 v3 Optimization and Control
Machine Learning
Abstract
We introduce a class of Markov chains, that contains the model of stochastic approximation by averaging and non-averaging. Using martingale approximation method, we establish various deviation inequalities for separately Lipschitz functions of such a chain, with different moment conditions on some dominating random variables of martingale differences.Finally, we apply these inequalities to the stochastic approximation by averaging and empirical risk minimisation.
Cite
@article{arxiv.2102.08685,
title = {Deviation inequalities for stochastic approximation by averaging},
author = {Xiequan Fan and Pierre Alquier and Paul Doukhan},
journal= {arXiv preprint arXiv:2102.08685},
year = {2022}
}
Comments
35 pages