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math.ST2014★ 1 cited
Convergence of Markovian Stochastic Approximation with discontinuous dynamics
Gersende Fort, Eric Moulines, Amandine Schreck +1
This paper is devoted to the convergence analysis of stochastic approximation algorithms of the form where is…
math.ST2012★ 8 cited
On the stability of some controlled Markov chains and its applications to stochastic approximation with Markovian dynamic
Christophe Andrieu, Vladislav B. Tadić, Matti Vihola
We develop a practical approach to establish the stability, that is, the recurrence in a given set, of a large class of controlled Markov chains. These processes arise in various a…