Borkar, V. S. (2002) On the lock-in probability of stochastic approximation Combinatorics, Probability and Computing, 11 (1). pp. 11-20. ISSN 0963-5483
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Official URL: http://portal.acm.org/citation.cfm?id=971021.97102...
Related URL: http://dx.doi.org/10.1017/S0963548301004953
Abstract
For a stochastic approximation-type recursion with finitely many possible limit points, we find a lower bound on the probability of converging to a prescribed point in its 'domain of attraction'. This has implications for the lock-in phenomena in the stochastic models of increasing return economics and the sample complexity of stochastic approximation algorithms in engineering.
| Item Type: | Article |
|---|---|
| Source: | Copyright of this article belongs to Cambridge University Press. |
| ID Code: | 5321 |
| Deposited On: | 18 Oct 2010 08:40 |
| Last Modified: | 20 May 2011 09:00 |
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