no code implementations • 27 Oct 2021 • Vivek Borkar, Shuhang Chen, Adithya Devraj, Ioannis Kontoyiannis, Sean Meyn
In addition to standard Lipschitz assumptions and conditions on the vanishing step-size sequence, it is assumed that the associated \textit{mean flow} $ \tfrac{d}{dt} \vartheta_t = \bar{f}(\vartheta_t)$, is globally asymptotically stable with stationary point denoted $\theta^*$, where $\bar{f}(\theta)=\text{ E}[f(\theta,\Phi)]$ with $\Phi$ having the stationary distribution of the chain.
no code implementations • 30 Sep 2020 • Shuhang Chen, Adithya Devraj, Andrey Bernstein, Sean Meyn
(ii) With gain $a_t = g/(1+t)$ the results are not as sharp: the rate of convergence $1/t$ holds only if $I + g A^*$ is Hurwitz.