3 papers
stat.ML2026
Convergence of Two Time-Scale Stochastic Approximation: A Martingale Approach
Mathukumalli Vidyasagar
In this paper, we analyze the two time-scale stochastic approximation (TTSSA) algorithm introduced in Borkar (1997) using a martingale approach. This approach leads to simple suffi…
math.OC2025
Revisiting Stochastic Approximation and Stochastic Gradient Descent
Rajeeva Laxman Karandikar, Bhamidi Visweswara Rao, Mathukumalli Vidyasagar
In this paper, we introduce a new approach to proving the convergence of the Stochastic Approximation (SA) and the Stochastic Gradient Descent (SGD) algorithms. The new approach is…
stat.ML2023
Convergence Rates for Stochastic Approximation: Biased Noise with Unbounded Variance, and Applications
Rajeeva L. Karandikar, M. Vidyasagar
In this paper, we study the convergence properties of the Stochastic Gradient Descent (SGD) method for finding a stationary point of a given objective function . The obje…