Stochastic approximation on non-compact measure spaces and application to measure-valued Pólya processes

Cecile Mailler, Denis Villemonais

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Abstract

Our main result is to prove almost-sure convergence of a stochasticapproximation algorithm defined on the space of measures on a noncompact space. Our motivation is to apply this result to measure-valued Pólya processes (MVPPs, also known as infinitely-many Pólya urns). Our main idea is to use Foster-Lyapunov type criteria in a novel way to generalize stochasticapproximation methods to measure-valued Markov processes with a noncompact underlying space, overcoming in a fairly general context one of the major difficulties of existing studies on this subject. From the MVPPs point of view, our result implies almost-sure convergence of a large class of MVPPs; this convergence was only obtained until now for specific examples, with only convergence in probability established for general classes. Furthermore, our approach allows us to extend the definition of MVPPs by adding "weights"to the different colors of the infinitelymany- color urn. We also exhibit a link between non-"balanced"MVPPs and quasi-stationary distributions of Markovian processes, which allows us to treat, for the first time in the literature, the nonbalanced case. Finally, we show how our result can be applied to designing stochasticapproximation algorithms for the approximation of quasi-stationary distributions of discrete- and continuous-time Markov processes on noncompact spaces.
Original languageEnglish
Pages (from-to)2393-2438
Number of pages46
JournalAnnals of Applied Probability
Volume30
Issue number5
Early online date15 Sep 2020
DOIs
Publication statusPublished - 2020

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