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Research output: Contribution to Journal/Magazine › Journal article › peer-review
Research output: Contribution to Journal/Magazine › Journal article › peer-review
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TY - JOUR
T1 - Asynchronous stochastic approximation with differential inclusions
AU - Perkins, Steven
AU - Leslie, David S.
PY - 2012
Y1 - 2012
N2 - The asymptotic pseudo-trajectory approach to stochastic approximation of Benaïm, Hofbauer and Sorin is extended for asynchronous stochastic approximations with a set-valued mean field. The asynchronicity of the process is incorporated into the mean field to produce convergence results which remain similar to those of an equivalent synchronous process. In addition, this allows many of the restrictive assumptions previously associated with asynchronous stochastic approximation to be removed. The framework is extended for a coupled asynchronous stochastic approximation process with set-valued mean fields. Two-timescales arguments are used here in a similar manner to the original work in this area by Borkar. The applicability of this approach is demonstrated through learning in a Markov decision process.
AB - The asymptotic pseudo-trajectory approach to stochastic approximation of Benaïm, Hofbauer and Sorin is extended for asynchronous stochastic approximations with a set-valued mean field. The asynchronicity of the process is incorporated into the mean field to produce convergence results which remain similar to those of an equivalent synchronous process. In addition, this allows many of the restrictive assumptions previously associated with asynchronous stochastic approximation to be removed. The framework is extended for a coupled asynchronous stochastic approximation process with set-valued mean fields. Two-timescales arguments are used here in a similar manner to the original work in this area by Borkar. The applicability of this approach is demonstrated through learning in a Markov decision process.
U2 - 10.1214/11-SSY056
DO - 10.1214/11-SSY056
M3 - Journal article
VL - 2
SP - 409
EP - 446
JO - Stochastic Systems
JF - Stochastic Systems
SN - 1946-5238
ER -