Stationary Bias and Extrapolation in Nonlinear Two-Timescale Stochastic Approximation
Constant-step stochastic approximation generally has a nonzero stationary mean error that persists under time averaging. This paper studies that error for nonlinear two-timescale recursions driven by an exogenous finite-state Markov chain. Under stated smoothness assumptions and conditions on the stationary distributio...
A. Madhusudanarao, Rahul Singh
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