Abstract
The stochastic approximation (SA) algorithm is a widely used probabilistic method for finding a solution to an equation of the form $\mathbf{f}(\boldsymbol{\theta}) = \mathbf{0}$ where $\mathbf{f} : \mathbb{R}^d \rightarrow \mathbb{R}^d$, when only noisy measurements of $\mathbf{f}(\cdot)$ are available. In the literature to date, one can make a distinction between "synchronous" updating, whereby the entire vector of the current guess $\boldsymbol{\theta}_t$ is updated at each time, and "asynchronous" updating, whereby ony one component of $\boldsymbol{\theta}_t$ is updated. In convex and nonconvex optimization, there is also the notion of "batch" updating, whereby some but not all components of $\boldsymbol{\theta}_t$ are updated at each time $t$. In addition, there is also a distinction between using a "local" clock versus a "global" clock. In the literature to date, convergence proofs when a local clock is used make the assumption that the measurement noise is an i.i.d\ sequence, an assumption that does not hold in Reinforcement Learning (RL). In this note, we provide a general theory of convergence for batch asymchronous stochastic approximation (BASA), that works whether the updates use a local clock or a global clock, for the case where the measurement noises form a martingale difference sequence. This is the most general result to date and encompasses all others.
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URL
https://arxiv.org/abs/2109.03445
