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Deviation inequalities for stochastic approximation by averaging.
- Source :
-
Stochastic Processes & Their Applications . Oct2022, Vol. 152, p452-485. 34p. - Publication Year :
- 2022
-
Abstract
- We introduce a class of Markov chains that includes models of stochastic approximation by averaging and non-averaging. Using a 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 stochastic approximation by averaging and empirical risk minimization. [ABSTRACT FROM AUTHOR]
Details
- Language :
- English
- ISSN :
- 03044149
- Volume :
- 152
- Database :
- Academic Search Index
- Journal :
- Stochastic Processes & Their Applications
- Publication Type :
- Academic Journal
- Accession number :
- 158672545
- Full Text :
- https://doi.org/10.1016/j.spa.2022.07.002