The dynamic system method and the traps

Odile Brandiere (1)

1 LAMA - Laboratoire d'Analyse et de Mathématiques Appliquées

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.

Domaines: Physique mathématique [math-ph]

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