Questions tagged [stochastic-approximation]

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The stochastic approximation algorithm of Robbins-Monro

I am reading A Stochastic Approximation Method by Herbert Robbins and Sutton Monro and have a question concerning their algorithm. In below, I will basically follow their construction but will change ...
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Applications of products of random matrices

I'm studying the paper "Matrix concentration for products" and I'm trying to find simple applications of the inequalities for the expected value of the spectral norm of products of random ...
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Moments of Logistic SDE's solution

On this article starting from equation $(30)$ it's presented a derivation of the first moment for the solution the logistic SDE: $$dx=x\left[\mu\left(1-\frac{x}{\tilde{x}}\right)dt+\sigma dW\right]$$...
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Minimizing $\int\lambda({\rm d}y)\frac{\left|g(y)-\frac{p(y)}c\lambda g\right|^2}{r((i,x),y)}$ with respect to discrete parameter $i$

Let $I\subseteq\mathbb N$ be finite and nonempty, $(E,\mathcal E,\lambda)$ be a $\sigma$-finite measure space, $$\lambda f:=\int f\:{\rm d}\lambda$$ for $\lambda$-integrable $f:E\to\mathbb R$, $p:E\to(...
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Reference for the positive probability of convergence to a stable point of a stochastic approximation algorithm

Consider a stochastic approximation process with $$x_{t+1} = x_t + \frac{1}{t} (g(x_t)+u_t)$$ where $(u_s)_s$ is a sequence of i.i.d. shocks. Assume $g$ is Lipschitz, $u_t$ has finite variance, and ...