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On the Lock-in Probability of Stochastic Approximation
Published online by Cambridge University Press: 14 February 2002
Abstract
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For a stochastic approximation-type recursion with finitely many possible limit points, we find a lower bound on the probability of converging to a prescribed point in its ‘domain of attraction’. This has implications for the lock-in phenomena in the stochastic models of increasing return economics and the sample complexity of stochastic approximation algorithms in engineering.
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- 2002 Cambridge University Press
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