Deviation inequalities for stochastic approximation by averaging

17 Feb 2021  ·  Xiequan Fan, Pierre Alquier, Paul Doukhan ·

We introduce a class of Markov chains, that contains the model of stochastic approximation by averaging and non-averaging. Using martingale approximation method, we establish various deviation inequalities for separately Lipschitz functions of such a chain, with different moment conditions on some dominating random variables of martingale differences.Finally, we apply these inequalities to the stochastic approximation by averaging...

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