Stability of Stochastic Approximation under Verifiable Conditions

Abstract

In this paper we address the problem of the stability and convergence of the stochastic approximation procedure θ<inf>n+1</inf>=θ<inf>n</inf>+γ<inf>n+1</inf>[h(θ<inf>n</inf>)+ξ<inf>n+1</inf>]. The stability of such sequences {θ<inf>n</inf>} is known to heavily rely on the behaviour of the mean field h at the boundary of the parameter set and the magnitude… (More)
DOI: 10.1137/S0363012902417267

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