Stochastic algorithms for computing means of probability measures
AbstractConsider a probability measure μ supported by a regular geodesic ball in a manifold. For any p≥1 we define a stochastic algorithm which converges almost surely to the p-mean ep of μ. Assuming furthermore that the functional to minimize is regular around ep, we prove that a natural renormalization of the inhomogeneous Markov chain converges in law into an inhomogeneous diffusion process. We give an explicit expression of this process, as well as its local characteristic.
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Bibliographic InfoArticle provided by Elsevier in its journal Stochastic Processes and their Applications.
Volume (Year): 122 (2012)
Issue (Month): 4 ()
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