Yu-Jie Qin

Berry--Esseen bounds for stochastic approximation with Markovian noise

This paper studies the convergence rate of the Polyak-Ruppert average estimator in one-dimensional linear stochastic approximation recursion driven by Markov chains, allowing the Markov chain to start from any initial distribution. Under the conditions of positive Harris recurrence, non-periodicity, and one-step domina...