Vivek S. Borkar

Finite-Time Concentration and Convergence Rates for Projected Two-Time-Scale Stochastic Approximation with Markov Noise

We study finite-time concentration and convergence rates for projected two-time-scale stochastic approximation driven by a controlled Markov chain. The averaged fast map is contractive, while the slow iterate is projected onto a compact convex polyhedron. The associated projected ordinary differential equation may have...