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On the Lock-in Probability of Stochastic Approximation

Published online by Cambridge University Press:  14 February 2002

V. S. BORKAR
V. S. BORKAR
Affiliation:
School of Technology and Computer Science, Tata Institute of Fundamental Research, Homi Bhabha Road, Mumbai 400005, India (e-mail: borkar@tifr.res.in)
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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.

Type
Research Article
Information
Combinatorics, Probability and Computing , Volume 11 , Issue 1 , January 2002 , pp. 11 - 20
Copyright
2002 Cambridge University Press

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