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Stochastic approximation with two time scales: The general case

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  • Borkar, Vivek S.

Abstract

Two time scale stochastic approximation is analyzed when the iterates on either or both time scales do not necessarily converge.

Suggested Citation

  • Borkar, Vivek S., 2025. "Stochastic approximation with two time scales: The general case," Stochastic Processes and their Applications, Elsevier, vol. 190(C).
    • Handle: RePEc:eee:spapps:v:190:y:2025:i:c:s0304414925002030
    DOI: 10.1016/j.spa.2025.104759
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    References listed on IDEAS

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    1. Prasenjit Karmakar & Shalabh Bhatnagar, 2018. "Two Time-Scale Stochastic Approximation with Controlled Markov Noise and Off-Policy Temporal-Difference Learning," Mathematics of Operations Research, INFORMS, vol. 43(1), pages 130-151, February.
    2. Michel Benaim & Josef Hofbauer & Sylvain Sorin, 2005. "Stochastic Approximations and Differential Inclusions II: Applications," Levine's Bibliography 784828000000000098, UCLA Department of Economics.
    3. Michel Benaïm & Josef Hofbauer & Sylvain Sorin, 2005. "Stochastic Approximations and Differential Inclusions; Part II: Applications," Working Papers hal-00242974, HAL.
    4. Freidlin, M. & Koralov, L., 2010. "Metastability for nonlinear random perturbations of dynamical systems," Stochastic Processes and their Applications, Elsevier, vol. 120(7), pages 1194-1214, July.
    5. Vinayaka G. Yaji & Shalabh Bhatnagar, 2020. "Stochastic Recursive Inclusions in Two Timescales with Nonadditive Iterate-Dependent Markov Noise," Mathematics of Operations Research, INFORMS, vol. 45(4), pages 1405-1444, November.
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