• Corpus ID: 249642237

# Two-Timescale Stochastic Approximation for Bilevel Optimisation Problems in Continuous-Time Models

@inproceedings{Sharrock2022TwoTimescaleSA,
title={Two-Timescale Stochastic Approximation for Bilevel Optimisation Problems in Continuous-Time Models},
author={Louis Sharrock},
year={2022}
}
We analyse the asymptotic properties of a continuous-time, two-timescale stochastic approximation algorithm designed for stochastic bilevel optimisation problems in continuous-time models. We obtain the weak convergence rate of this algorithm in the form of a central limit theorem. We also demonstrate how this algorithm can be applied to several continuous-time bilevel optimisation problems.

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