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Stochastic approximation algorithms with constant step size whose average is cooperative
Auteur(s)
Hirsch, Morris W
Date de parution
1999
In
Annals of Applied Probability
Vol.
1
No
9
De la page
216
A la page
241
Mots-clés
Résumé
We consider stochastic approximation algorithms with constant step size whose average ordinary differential equation (ODE) is cooperative and irreducible. We show that, under mild conditions on the noise process, invariant measures and empirical occupations measures of the process weakly converge (as the time goes to infinity and the step size goes to zero) toward measures which are supported by stable equilibria of the ODE. These results are applied to analyzing the long-term behavior of a class of learning processes arising in game theory.
Identifiants
Type de publication
journal article
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