Markovian Foundations for Quasi-Stochastic Approximation with Applications to Extremum Seeking Control
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arXiv
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| Format: | Preprint |
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2022
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| author | Lauand, Caio Kalil Meyn, Sean |
| author_facet | Lauand, Caio Kalil Meyn, Sean |
| contents | This paper concerns quasi-stochastic approximation (QSA) to solve root finding problems commonly found in applications to optimization and reinforcement learning. The general constant gain algorithm may be expressed as the time-inhomogeneous ODE $ \frac{d}{dt}Θ_t=αf_t (Θ_t)$, with state process $Θ$ evolving on $\mathbb{R}^d$. Theory is based on an almost periodic vector field, so that in particular the time average of $f_t(θ)$ defines the time-homogeneous mean vector field $\bar{f} \colon \mathbb{R}^d \to \mathbb{R}^d$ with $\bar{f}(θ^*)=0$. Under smoothness assumptions on the functions involved, the following exact representation is obtained: \[\frac{d}{dt}Θ_t=α[\bar{f}(Θ_t)-α\barΥ_t+α^2\mathcal{W}_t^0+α\frac{d}{dt}\mathcal{W}_t^1+\frac{d^2}{dt^2}\mathcal{W}_t^2]\] along with formulae for the smooth signals $\{\bar Υ_t , \mathcal{W}_t^i : i=0, 1, 2\}$. This new representation, combined with new conditions for ultimate boundedness, has many applications for furthering the theory of QSA and its applications, including the following implications that are developed in this paper:
(i) A proof that the estimation error $\|Θ_t-θ^*\|$ is of order $O(α)$, but can be reduced to $O(α^2)$ using a second order linear filter.
(ii) In application to extremum seeking control, it is found that the results do not apply because the standard algorithms are not Lipschitz continuous. A new approach is presented to ensure that the required Lipschitz bounds hold, and from this we obtain stability, transient bounds, and asymptotic bias of order $O(α^2)$, and asymptotic variance of order $O(α^4)$.
(iii) It is in general possible to obtain better than $O(α)$ bounds on error in traditional stochastic approximation when there is Markovian noise. |
| format | Preprint |
| id |
arxiv_https___arxiv_org_abs_2207_06371 |
| institution | arXiv |
| publishDate | 2022 |
| record_format | arxiv |
| spellingShingle | Markovian Foundations for Quasi-Stochastic Approximation with Applications to Extremum Seeking Control Lauand, Caio Kalil Meyn, Sean Optimization and Control 62L20, 34C29, 93C15, 93C10, 93C73 This paper concerns quasi-stochastic approximation (QSA) to solve root finding problems commonly found in applications to optimization and reinforcement learning. The general constant gain algorithm may be expressed as the time-inhomogeneous ODE $ \frac{d}{dt}Θ_t=αf_t (Θ_t)$, with state process $Θ$ evolving on $\mathbb{R}^d$. Theory is based on an almost periodic vector field, so that in particular the time average of $f_t(θ)$ defines the time-homogeneous mean vector field $\bar{f} \colon \mathbb{R}^d \to \mathbb{R}^d$ with $\bar{f}(θ^*)=0$. Under smoothness assumptions on the functions involved, the following exact representation is obtained: \[\frac{d}{dt}Θ_t=α[\bar{f}(Θ_t)-α\barΥ_t+α^2\mathcal{W}_t^0+α\frac{d}{dt}\mathcal{W}_t^1+\frac{d^2}{dt^2}\mathcal{W}_t^2]\] along with formulae for the smooth signals $\{\bar Υ_t , \mathcal{W}_t^i : i=0, 1, 2\}$. This new representation, combined with new conditions for ultimate boundedness, has many applications for furthering the theory of QSA and its applications, including the following implications that are developed in this paper: (i) A proof that the estimation error $\|Θ_t-θ^*\|$ is of order $O(α)$, but can be reduced to $O(α^2)$ using a second order linear filter. (ii) In application to extremum seeking control, it is found that the results do not apply because the standard algorithms are not Lipschitz continuous. A new approach is presented to ensure that the required Lipschitz bounds hold, and from this we obtain stability, transient bounds, and asymptotic bias of order $O(α^2)$, and asymptotic variance of order $O(α^4)$. (iii) It is in general possible to obtain better than $O(α)$ bounds on error in traditional stochastic approximation when there is Markovian noise. |
| title | Markovian Foundations for Quasi-Stochastic Approximation with Applications to Extremum Seeking Control |
| topic | Optimization and Control 62L20, 34C29, 93C15, 93C10, 93C73 |
| url | https://arxiv.org/abs/2207.06371 |