Remarks on Differential Inclusion limits of Stochastic Approximation

Vivek Borkar; Dhruv Shah

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arXiv · 2303.04558

Remarks on Differential Inclusion limits of Stochastic Approximation

Vivek Borkar·Dhruv Shah

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Abstract

For stochastic approximation algorithms with discontinuous dynamics, it is shown that under suitable distributional assumptions, the interpolated iterates track a Fillipov solution of the limiting differential inclusion. In addition, we give an alternative control theoretic approach to recent results of [7] on certain limiting empirical measures associated with the iteration.

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Vivek Borkar, Dhruv Shah. 2023-03-08. Remarks on Differential Inclusion limits of Stochastic Approximation. https://arxiv.org/abs/2303.04558

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