Concentration bounds for two time scale stochastic approximation

Vivek S. Borkar; Sarath Pattathil

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arXiv · 1806.10798

Concentration bounds for two time scale stochastic approximation

Vivek S. Borkar·Sarath Pattathil

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Abstract

Viewing a two time scale stochastic approximation scheme as a noisy discretization of a singularly perturbed differential equation, we obtain a concentration bound for its iterates that captures its behavior with quantifiable high probability. This uses Alekseev's nonlinear variation of constants formula and a martingale concentration inequality and extends the corresponding results for single time scale stochastic approximation.

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Vivek S. Borkar, Sarath Pattathil. 2018-06-28. Concentration bounds for two time scale stochastic approximation. https://arxiv.org/abs/1806.10798

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