Two-Timescale Stochastic Approximation for Bilevel Optimisation Problems in Continuous-Time Models

• URL: http://arxiv.org/abs/2206.06995v1
• Date: Tue, 14 Jun 2022 17:12:28 GMT
• Title: Two-Timescale Stochastic Approximation for Bilevel Optimisation Problems in Continuous-Time Models
• Authors: Louis Sharrock
• Abstract summary: We analyse the properties of a continuous-time, two-timescale approximation algorithm designed for bilevel optimisation problems in continuous-time models. We obtain the weak convergence rate of this algorithm in the form of a central limit theorem.
• Score: 0.0
• License: http://arxiv.org/licenses/nonexclusive-distrib/1.0/
• Abstract: 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.

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