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math.OC2025
Convergence of projected stochastic approximation algorithm
Michał Borowski, Błażej Miasojedow
We study the Robbins-Monro stochastic approximation algorithm with projections on a hyperrectangle and prove its convergence. This work fills a gap in the convergence proof of the…
math.OC2018
Analysis of nonsmooth stochastic approximation: the differential inclusion approach
Szymon Majewski, Błażej Miasojedow, Eric Moulines
In this paper we address the convergence of stochastic approximation when the functions to be minimized are not convex and nonsmooth. We show that the "mean-limit" approach to the…