Pedro Mota
Assistant Professor
Department of Mathematics at Faculdade de Ciências e Tecnologia of Universidade NOVA de Lisboa (email)
On the Information Content of Some Stochastic Algorithms.
- Citation:
- Esquível, M. L., N. Machado, NP Krasii, and P. Mota. "On the Information Content of Some Stochastic Algorithms." Recent Developments in Stochastic Methods and Applications. Eds. A. N. Shiryaev, K. E. Samouylov, and D. V. Kozyrev. Cham: Springer, 2021. 57-75.
Abstract:
We formulate an optimization stochastic algorithm convergence theorem, of Solis and Wets type, and we show several instances of its application to concrete algorithms. In this convergence theorem the algorithm is a sequence of random variables and, in order to describe the increasing flow of information associated to this sequence we define a filtration – or flow of σ -algebras – on the probability space, depending on the sequence of random variables and on the function being optimized. We compare the flow of information of two convergent algorithms by comparing the associated filtrations by means of the Cotter distance of σ-algebras. The main result is that two convergent optimization algorithms have the same information content if both their limit minimization functions generate the full σ-algebra of the probability space.
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