1 code implementation • 23 May 2024 • Sebastian Allmeier, Nicolas Gast
Furthermore, we show that the time-averaged bias is equal to $\alpha V + O(\alpha^2)$, where $V$ is a constant characterized by a Lyapunov equation, showing that $\mathbb{E}[\bar{\theta}_n] \approx \theta^*+V\alpha + O(\alpha^2)$, where $\bar{\theta}_n=(1/n)\sum_{k=1}^n\theta_k$ is the Polyak-Ruppert average.
