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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…
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…