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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.ML2025
Convergence of Batch Asynchronous Stochastic Approximation With Applications to Reinforcement Learning
Rajeeva L. Karandikar, M. Vidyasagar
We begin by briefly surveying some results on the convergence of the Stochastic Gradient Descent (SGD) Method, proved in a companion paper by the present authors. These results are…
stat.ML2024
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…