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 $\theta \_n+1=\theta \_n+\gamma \_n+1H\_\theta \_n(X\_n+1)$ where $\{\theta \_nn,n\ge 0\}$ is…