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General multilevel adaptations for stochastic approximation algorithms of Robbins–Monro and Polyak–Ruppert type

  • Steffen Dereich
  • Thomas Müller-GronbachEmail author
Article
  • 8 Downloads

Abstract

In this article we present and analyse new multilevel adaptations of classical stochastic approximation algorithms for the computation of a zero of a function \(f:D \rightarrow {{\mathbb {R}}}^d\) defined on a convex domain \(D\subset {{\mathbb {R}}}^d\), which is given as a parameterised family of expectations. The analysis of the error and the computational cost of our method is based on similar assumptions as used in Giles (Oper Res 56(3):607–617, 2008) for the computation of a single expectation. Additionally, we essentially only require that f satisfies a classical contraction property from stochastic approximation theory. Under these assumptions we establish error bounds in pth mean for our multilevel Robbins–Monro and Polyak–Ruppert schemes that decay in the computational time as fast as the classical error bounds for multilevel Monte Carlo approximations of single expectations known from Giles (Oper Res 56(3):607–617, 2008). Our approach is universal in the sense that having multilevel implementations for a particular application at hand it is straightforward to implement the corresponding stochastic approximation algorithm.

Mathematics Subject Classification

Primary 62L20 Secondary 60J10 65C05 

Notes

Acknowledgements

We thank two anonymous referees for their valuable comments, which improved the presentation of the material.

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Copyright information

© Springer-Verlag GmbH Germany, part of Springer Nature 2019

Authors and Affiliations

  1. 1.Fachbereich 10: Mathematik und Informatik, Institut für Mathematische StatistikWestfälische Wilhelms-Universität MünsterMünsterGermany
  2. 2.Fakultät für Informatik und MathematikUniversität PassauPassauGermany

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