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Stabilization of stochastic approximation by step size adaptation

Kamal, Sameer (2012) Stabilization of stochastic approximation by step size adaptation. In: SYSTEMS & CONTROL LETTERS, 61 (4). pp. 543-548.

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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. (C) 2012 Elsevier B.V. All rights reserved.

Item Type: Journal Article
Additional Information: Copyright for this article belongs to Cornell University Library
Keywords: ALGORITHMS
Department/Centre: Division of Physical & Mathematical Sciences > Mathematics
Date Deposited: 18 Jul 2012 04:49
Last Modified: 18 Jul 2012 04:57
URI: http://eprints.iisc.ernet.in/id/eprint/44633

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