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

06/14/2022

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by   Louis Sharrock, et al.

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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.