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Abstract In this article we establish central limit theorems for multilevel Polyak–Ruppert averaged stochastic approximation schemes. We work under very mild technical assumptions and consider the slow regime in which… Click to show full abstract
Abstract In this article we establish central limit theorems for multilevel Polyak–Ruppert averaged stochastic approximation schemes. We work under very mild technical assumptions and consider the slow regime in which typical errors decay like N − δ with δ ∈ ( 0 , 1 2 ) and the critical regime in which errors decay of order N − 1 ∕ 2 log N in the runtime N of the algorithm.
Keywords:
general multilevel;
approximation;
stochastic approximation;
adaptations stochastic;
multilevel adaptations;
approximation algorithms
Journal Title: Stochastic Processes and their Applications
Year Published: 2021
Link to full text (if available)
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Journal Title: Stochastic Processes and their Applications
Year Published: 2021
Link to full text (if available)
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recommendations!