Deviation inequalities for stochastic approximation by averaging. (arXiv:2102.08685v2 [math.PR] UPDATED)

We introduce a class of Markov chains, that contains the model of stochastic
approximation by averaging and non-averaging. Using martingale approximation
method, we establish various deviation inequalities for separately Lipschitz
functions of such a chain, with different moment conditions on some dominating
random variables of martingale differences.Finally, we apply these inequalities
to the stochastic approximation by averaging and empirical risk minimisation.

arxiv deviation math pr stochastic