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The dynamic system method and the traps

Abstract : We transpose the ordinary differential equation method (used for decreasing stepsize stochastic algorithms) to a dynamical system method to study dynamical systems disturbed by a noise decreasing to zero. We prove that such an algorithm does not fall into a regular trap if the noise is exciting in an unstable direction.
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https://hal-upec-upem.archives-ouvertes.fr/hal-00694266
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Submitted on : Thursday, May 3, 2012 - 11:44:45 PM
Last modification on : Thursday, March 19, 2020 - 12:26:02 PM

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  • HAL Id : hal-00694266, version 1

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Odile Brandiere. The dynamic system method and the traps. Advances in Applied Probability, Applied Probability Trust, 1998, 30 (1), pp.137--151. ⟨hal-00694266⟩

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