Markovian stochastic approximation with expanding projections

Abstract

Stochastic approximation is a framework unifying many random iterative algorithms occurring in a diverse range of applications. The stability of the process is often difficult to verify in practical applications and the process may even be unstable without additional stabilisation techniques. We study a stochastic approximation procedure with expanding projections similar to Andrad\'{o}ttir [Oper. Res. 43 (1995) 1037-1048]. We focus on Markovian noise and show the stability and convergence under general conditions. Our framework also incorporates the possibility to use a random step size sequence, which allows us to consider settings with a non-smooth family of Markov kernels. We apply the theory to stochastic approximation expectation maximisation with particle independent Metropolis-Hastings sampling.