On The Convergence and ODE Limit of A Two-Dimensional Stochastic Approximation
Makowski, Armand M.
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We consider a two-dimensional stochastic approximations scheme of the Robbins-Monro type which naturally arises in the study of steering policies for Markov decision processes [6,7]. Making use of a decoupling change of variable, we establish almost sure convergence by ad-hoc arguments that combine standard results on one-dimensional stochastic approximations with a version of the law of large number for martingale differences. Coming full circle, this direct analysis gives clues on how to select the test function which appears in standard convergence results for multi-dimensional schemes. Furthermore, a blind application of the ODE method is not possible here as solutions to the limiting ODE cannot be defined in an elementary way, but the aforementioned change of variasble paves the way for an interpretation of the behavior of solutions to the limiting ODE.