Dr. Nhu Nguyen
University of Rhode Island
Date & Time
December 2, 2022, 11:00 am – 12:00 pm
Title: Stochastic Approximation with Discontinuous Dynamics, Differential Inclusions, and Applications
Abstract: This talk develops new results for stochastic approximation algorithms. The emphases are on treating algorithms and limits with discontinuities. The main ingredients include the use of differential inclusions, set-valued analysis, and non-smooth analysis, and stochastic differential inclusions. Under broad conditions, it is shown that a suitably scaled sequence of the iterates has a differential inclusion limit. In addition, it is shown for the first time that a centered and scaled sequence of the iterates converges weakly to a stochastic differential inclusion limit. The results are then used to treat several application examples including Markov decision process, Lasso algorithms, Pegasos algorithms, support vector machine classification, and learning.