6,421 research outputs found
Convergence rate and averaging of nonlinear two-time-scale stochastic approximation algorithms
The first aim of this paper is to establish the weak convergence rate of
nonlinear two-time-scale stochastic approximation algorithms. Its second aim is
to introduce the averaging principle in the context of two-time-scale
stochastic approximation algorithms. We first define the notion of asymptotic
efficiency in this framework, then introduce the averaged two-time-scale
stochastic approximation algorithm, and finally establish its weak convergence
rate. We show, in particular, that both components of the averaged
two-time-scale stochastic approximation algorithm simultaneously converge at
the optimal rate .Comment: Published at http://dx.doi.org/10.1214/105051606000000448 in the
Annals of Applied Probability (http://www.imstat.org/aap/) by the Institute
of Mathematical Statistics (http://www.imstat.org
Estimating the geometric median in Hilbert spaces with stochastic gradient algorithms: and almost sure rates of convergence
The geometric median, also called -median, is often used in robust
statistics. Moreover, it is more and more usual to deal with large samples
taking values in high dimensional spaces. In this context, a fast recursive
estimator has been introduced by Cardot, Cenac and Zitt. This work aims at
studying more precisely the asymptotic behavior of the estimators of the
geometric median based on such non linear stochastic gradient algorithms. The
rates of convergence as well as almost sure rates of convergence of
these estimators are derived in general separable Hilbert spaces. Moreover, the
optimal rate of convergence in quadratic mean of the averaged algorithm is also
given
A fast and recursive algorithm for clustering large datasets with -medians
Clustering with fast algorithms large samples of high dimensional data is an
important challenge in computational statistics. Borrowing ideas from MacQueen
(1967) who introduced a sequential version of the -means algorithm, a new
class of recursive stochastic gradient algorithms designed for the -medians
loss criterion is proposed. By their recursive nature, these algorithms are
very fast and are well adapted to deal with large samples of data that are
allowed to arrive sequentially. It is proved that the stochastic gradient
algorithm converges almost surely to the set of stationary points of the
underlying loss criterion. A particular attention is paid to the averaged
versions, which are known to have better performances, and a data-driven
procedure that allows automatic selection of the value of the descent step is
proposed.
The performance of the averaged sequential estimator is compared on a
simulation study, both in terms of computation speed and accuracy of the
estimations, with more classical partitioning techniques such as -means,
trimmed -means and PAM (partitioning around medoids). Finally, this new
online clustering technique is illustrated on determining television audience
profiles with a sample of more than 5000 individual television audiences
measured every minute over a period of 24 hours.Comment: Under revision for Computational Statistics and Data Analysi
Performance of a Distributed Stochastic Approximation Algorithm
In this paper, a distributed stochastic approximation algorithm is studied.
Applications of such algorithms include decentralized estimation, optimization,
control or computing. The algorithm consists in two steps: a local step, where
each node in a network updates a local estimate using a stochastic
approximation algorithm with decreasing step size, and a gossip step, where a
node computes a local weighted average between its estimates and those of its
neighbors. Convergence of the estimates toward a consensus is established under
weak assumptions. The approach relies on two main ingredients: the existence of
a Lyapunov function for the mean field in the agreement subspace, and a
contraction property of the random matrices of weights in the subspace
orthogonal to the agreement subspace. A second order analysis of the algorithm
is also performed under the form of a Central Limit Theorem. The
Polyak-averaged version of the algorithm is also considered.Comment: IEEE Transactions on Information Theory 201
A companion for the Kiefer--Wolfowitz--Blum stochastic approximation algorithm
A stochastic algorithm for the recursive approximation of the location
of a maximum of a regression function was introduced by Kiefer and
Wolfowitz [Ann. Math. Statist. 23 (1952) 462--466] in the univariate framework,
and by Blum [Ann. Math. Statist. 25 (1954) 737--744] in the multivariate case.
The aim of this paper is to provide a companion algorithm to the
Kiefer--Wolfowitz--Blum algorithm, which allows one to simultaneously
recursively approximate the size of the maximum of the regression
function. A precise study of the joint weak convergence rate of both algorithms
is given; it turns out that, unlike the location of the maximum, the size of
the maximum can be approximated by an algorithm which converges at the
parametric rate. Moreover, averaging leads to an asymptotically efficient
algorithm for the approximation of the couple .Comment: Published in at http://dx.doi.org/10.1214/009053606000001451 the
Annals of Statistics (http://www.imstat.org/aos/) by the Institute of
Mathematical Statistics (http://www.imstat.org
Fast Estimation of the Median Covariation Matrix with Application to Online Robust Principal Components Analysis
The geometric median covariation matrix is a robust multivariate indicator of
dispersion which can be extended without any difficulty to functional data. We
define estimators, based on recursive algorithms, that can be simply updated at
each new observation and are able to deal rapidly with large samples of high
dimensional data without being obliged to store all the data in memory.
Asymptotic convergence properties of the recursive algorithms are studied under
weak conditions. The computation of the principal components can also be
performed online and this approach can be useful for online outlier detection.
A simulation study clearly shows that this robust indicator is a competitive
alternative to minimum covariance determinant when the dimension of the data is
small and robust principal components analysis based on projection pursuit and
spherical projections for high dimension data. An illustration on a large
sample and high dimensional dataset consisting of individual TV audiences
measured at a minute scale over a period of 24 hours confirms the interest of
considering the robust principal components analysis based on the median
covariation matrix. All studied algorithms are available in the R package
Gmedian on CRAN
Online estimation of the geometric median in Hilbert spaces : non asymptotic confidence balls
Estimation procedures based on recursive algorithms are interesting and
powerful techniques that are able to deal rapidly with (very) large samples of
high dimensional data. The collected data may be contaminated by noise so that
robust location indicators, such as the geometric median, may be preferred to
the mean. In this context, an estimator of the geometric median based on a fast
and efficient averaged non linear stochastic gradient algorithm has been
developed by Cardot, C\'enac and Zitt (2013). This work aims at studying more
precisely the non asymptotic behavior of this algorithm by giving non
asymptotic confidence balls. This new result is based on the derivation of
improved rates of convergence as well as an exponential inequality for
the martingale terms of the recursive non linear Robbins-Monro algorithm
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