Quasi-Stationary Distributions for Stochastic Approximation Algorithms with constant step size
Year: 2013
Type: preprint
Abstract: In this paper we investigate quasi-stationary distributions μ_N of stochastic approximation algorithms with constant step size which can be viewed as random perturbations of a time-continuous dynamical system. Inspired by ecological models these processes have a closed absorbing set corresponding to extinction. Under some large deviation assumptions and the existence of an interior attractor for the ODE, we show that the weak* limit points of the QSD μ_N are invariant measures for the ODE with support in the interior attractors.
Source: arXiv (Cornell University)
Author: Marmet, Bastien
Institution: University of Neuchâtel
Language: English
Subfield: Mathematical Physics
Field: Mathematics
Domain: Physical Sciences
Open Access status: green
OpenAlex ID: W1763880727