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Stabilization of stochastic approximation by step size adaptation
Journal article   Peer reviewed

Stabilization of stochastic approximation by step size adaptation

Sameer Kamal
Systems & control letters, Vol.61(4), pp.543-548
01/04/2012

Abstract

Almost sure boundedness Limiting o.d.e Step size adaptation Stochastic approximation
A scheme for stabilizing stochastic approximation iterates by adaptively scaling the step sizes is proposed and analyzed. This scheme leads to the same limiting differential equation as the original scheme and therefore has the same limiting behavior, while avoiding the difficulties associated with projection schemes. The proof technique requires only that the limiting o.d.e. descend a certain Lyapunov function outside an arbitrarily large bounded set.

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