Ramaswamy, Arunselvan and Bhatnagar, Shalabh (2016) Stochastic recursive inclusion in two timescales with an application to the Lagrangian dual problem. In: STOCHASTICS-AN INTERNATIONAL JOURNAL OF PROBABILITY AND STOCHASTIC REPORTS, 88 (8). pp. 1173-1187.
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Abstract
In this paper we present a framework to analyze the asymptotic behavior of two timescale stochastic approximation algorithms including those with set-valued mean fields. This paper builds on the works of Borkar and Perkins & Leslie. The framework presented herein is more general as compared to the synchronous two timescale framework of Perkins & Leslie, however the assumptions involved are easily verifiable. As an application, we use this framework to analyze the two timescale stochastic approximation algorithm corresponding to the Lagrangian dual problem in optimization theory.
Item Type: | Journal Article |
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Publication: | STOCHASTICS-AN INTERNATIONAL JOURNAL OF PROBABILITY AND STOCHASTIC REPORTS |
Additional Information: | Copy right for this article belongs to the TAYLOR & FRANCIS LTD, 2-4 PARK SQUARE, MILTON PARK, ABINGDON OR14 4RN, OXON, ENGLAND |
Department/Centre: | Division of Electrical Sciences > Computer Science & Automation |
Date Deposited: | 03 Dec 2016 09:58 |
Last Modified: | 03 Dec 2016 09:58 |
URI: | http://eprints.iisc.ac.in/id/eprint/55383 |
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