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arXiv · 2206.06995

Two-Timescale Stochastic Approximation for Bilevel Optimisation Problems in Continuous-Time Models

Louis Sharrock
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Abstract

We analyse the asymptotic properties of a continuous-time, two-timescale stochastic approximation algorithm designed for stochastic bilevel optimisation problems in continuous-time models. We obtain the weak convergence rate of this algorithm in the form of a central limit theorem. We also demonstrate how this algorithm can be applied to several continuous-time bilevel optimisation problems.

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Louis Sharrock. 2022-06-14. Two-Timescale Stochastic Approximation for Bilevel Optimisation Problems in Continuous-Time Models. https://arxiv.org/abs/2206.06995

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