Convergence Analysis of Riemannian Stochastic Approximation Schemes

27 May 2020Alain DurmusPablo JiménezÉric MoulinesSalem SaidHoi-To Wai

This paper analyzes the convergence for a large class of Riemannian stochastic approximation (SA) schemes, which aim at tackling stochastic optimization problems. In particular, the recursions we study use either the exponential map of the considered manifold (geodesic schemes) or more general retraction functions (retraction schemes) used as a proxy for the exponential map... (read more)

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