Quasi-Stationary Distributions for Stochastic Approximation Algorithms with constant step size

Bastien Marmet

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arXiv · 1303.7081

Quasi-Stationary Distributions for Stochastic Approximation Algorithms with constant step size

Bastien Marmet

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Abstract

In this paper we investigate quasi-stationary distributions μ_N of stochastic approximation algorithms with constant step size which can be viewed as random perturbations of a time-continuous dynamical system. Inspired by ecological models these processes have a closed absorbing set corresponding to extinction. Under some large deviation assumptions and the existence of an interior attractor for the ODE, we show that the weak* limit points of the QSD μ_N are invariant measures for the ODE with support in the interior attractors.

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BibTeX RIS

Bastien Marmet. 2013-05-02. Quasi-Stationary Distributions for Stochastic Approximation Algorithms with constant step size. https://arxiv.org/abs/1303.7081

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