Ijay Narang

Steady-State Behavior of Constant-Stepsize Stochastic Approximation: Gaussian Approximation and Tail Bounds

Constant-stepsize stochastic approximation is widely used in learning for computational efficiency. For a fixed stepsize, the iterates typically admit a stationary distribution that is rarely tractable. Prior work shows that as the stepsize $\alpha \downarrow 0$, the centered-and-scaled steady state…