Two-Timescale Stochastic Approximation for Bilevel Optimisation Problems in Continuous-Time Models
We analyse the asymptotic properties of a continuous-time, two-timescale stochastic approximation algorithm designed for stochastic bilevel optimisation problems in continuous-time models. We obtain the weak convergence rate of this algorithm in the form of a central limit theorem. We also demonstrate how this algorithm can be applied to several continuous-time bilevel optimisation problems.
Code (0)
등록된 구현이 없습니다.
Similar Papers 제목 키워드 기반
A Single-Timescale Method for Stochastic Bilevel Optimization
Stochastic bilevel optimization generalizes the classic stochastic optimization from the minimization of a single objective to the minimization of an objective function that depends the solution of another optimization p…
Bilevel OptimizationMeta-LearningStochastic OptimizationA Single-Timescale Analysis For Stochastic Approximation With Multiple Coupled Sequences
Stochastic approximation (SA) with multiple coupled sequences has found broad applications in machine learning such as bilevel learning and reinforcement learning (RL). In this paper, we study the finite-time convergence…
Reinforcement Learning (RL)A Two-Timescale Framework for Bilevel Optimization: Complexity Analysis and Application to Actor-Critic
This paper analyzes a two-timescale stochastic algorithm framework for bilevel optimization. Bilevel optimization is a class of problems which exhibit a two-level structure, and its goal is to minimize an outer objective…
Bilevel OptimizationHyperparameter OptimizationCentral Limit Theorem for Two-Timescale Stochastic Approximation with Markovian Noise: Theory and Applications
Two-timescale stochastic approximation (TTSA) is among the most general frameworks for iterative stochastic algorithms. This includes well-known stochastic optimization methods such as SGD variants and those designed for…
Stochastic OptimizationA Near-Optimal Algorithm for Stochastic Bilevel Optimization via Double-Momentum
This paper proposes a new algorithm -- the \underline{S}ingle-timescale Do\underline{u}ble-momentum \underline{St}ochastic \underline{A}pprox\underline{i}matio\underline{n} (SUSTAIN) -- for tackling stochastic unconstrai…
Bilevel OptimizationHyperparameter Optimization