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In this question, there is a proof for deterministic version of "Almost Supermartingale"

Question: Can we extend [1] as following? If yes, can we prove it?

Let the non-negative sequences be $\{V_1^k\}$, $\{V_2^k\}$, $\{S_{1,2}^k\}$, and $\{ U_{1,2}^k \}$ for $k=0,1,2,\ldots$. Let $\alpha_0, \alpha_1, \ldots$ and $\beta_0, \beta_1, \ldots$ be non-negative scalars satisfying $\sum_{k=0}^\infty \alpha_k < \infty$ and $\sum_{k=0}^\infty \beta_k < \infty$. Assume $$V_1^{k+1} + V_2^{k+1} \leq \left( 1 + \alpha_k \right) V_1^k + \left( 1 + \beta_k \right) V_2^k - S_{1,2}^k + U_{1,2}^k$$ and $$\sum_{i=1}^\infty U_{1,2}^i < \infty.$$ Then,

  1. $V_1^k \rightarrow V_1^\infty$
  2. $V_2^k \rightarrow V_2^\infty$
  3. $\sum_{k=0}^\infty S_{1,2}^k < \infty$.

P.S.: Question: Is there any "name" of such convergence theorem in [1] besides stating non-random version of (almost) supermartingale?


ATTEMPT:

We can split the above inequality \begin{align} V_1^{k+1} \leq \left( 1 + \alpha_k \right) V_1^k - {\color{red}{\frac{1}{2}}}S_{1,2}^k + {\color{red}{\frac{1}{2}}}U_{1,2}^k \tag{1} \end{align} and \begin{align} V_2^{k+1} \leq \left( 1 + \beta_k \right) V_2^k - {\color{red}{\frac{1}{2}}}S_{1,2}^k + {\color{red}{\frac{1}{2}}}U_{1,2}^k. \tag{2} \end{align}

From [1], we know that both $(1)$ and $(2)$ can have $V_1^k \to V_1^\infty$ and $V_2^k \to V_2^\infty$. Also, $\sum_{k=0}^\infty S_{1,2}^k < \infty$ follows directly from both $(1)$ and $(2)$.

Does this above approach make sense?

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1 Answer 1

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No. E.g., for $j=1,2$ and $k=0,1,\dots$, take $V_j^k=2+(-1)^{j+k}$, $S_{1,2}^k=0$, $U_{1,2}^k=0$, $\alpha_k=0$, and $\beta_k=0$.

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  • $\begingroup$ Thank you, Iosif! That is true. $\endgroup$
    – user550103
    Commented Jan 20, 2022 at 14:37
  • $\begingroup$ Any possibility to prove that with some (obvious) assumption? $\endgroup$
    – user550103
    Commented Jan 20, 2022 at 17:51
  • $\begingroup$ @user550103 : I think it might be of help if you disclose specifics of what you are actually trying to accomplish as the end result, instead of soliciting additional conditions, which may well turn out to be not applicable in your setting. $\endgroup$ Commented Jan 20, 2022 at 18:21
  • $\begingroup$ Sorry for the late reply as I was away. I am trying to extend and/or relate supermartingale convergence theorem with "quasi-Fejér" monotonicity (arxiv.org/pdf/1206.5705.pdf). I am still at basic level. But my gut feelings say that there can be some relation and synergy among these two approaches. $\endgroup$
    – user550103
    Commented Jan 23, 2022 at 15:28
  • $\begingroup$ Let us focus on finite-dimensional spaces, for instance Euclidean space. Let $C$ be a nonempty closed subset of the Euclidean space $\mathbb{R}^n$. Let $(x_k)_{k\geq0}$ be a sequence in $\mathbb{R}^n$. Additionally, let $\{W_k\}$ be a positive definite matrix such that $W_{k+1} \preceq \left(1+\alpha_k\right)W_{k}$, where $\sum_{k=0}^\infty \alpha_k < \infty$. [1/2] $\endgroup$
    – user550103
    Commented Jan 23, 2022 at 15:39

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