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

2013/03/28 by Marmet, Bastien
#FOS: Mathematics #Probability (math.PR)

paper · doi:10.48550/arxiv.1303.7081

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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