Nonlinear Two-Time-Scale Stochastic Approximation: A Sharp Phase Transition and How to Beat It

Dhruv Sarkar, Vaneet Aggarwal

Recent finite-time analyses of nonlinear two-time-scale stochastic approximation show that under contractive assumptions the slow iterate $Y_k$ with stepsizes ${\beta }_k=\Theta (k^{-1})$ and $…