Deviation inequalities for stochastic approximation by averaging
arXiv:2102.08685 · doi:10.1016/j.spa.2022.07.002
Abstract
We introduce a class of Markov chains, that contains the model of stochastic approximation by averaging and non-averaging. Using martingale approximation method, we establish various deviation inequalities for separately Lipschitz functions of such a chain, with different moment conditions on some dominating random variables of martingale differences.Finally, we apply these inequalities to the stochastic approximation by averaging and empirical risk minimisation.
35 pages