Unbalanced multi-drawing urn with random addition matrix

2019 ◽  
Vol 26 (1/2) ◽  
pp. 57-74
Author(s):  
Aguech Rafik ◽  
Selmi Olfa
Keyword(s):  
Asymptotic Behavior ◽  
Approximation Algorithm ◽  
Stochastic Approximation ◽  
Discrete Time ◽  
Random Number ◽  
Random Variables ◽  
Urn Model ◽  
Time Step ◽  
Stochastic Approximation Algorithm ◽  
Replacement Rule

In this paper, we consider a two color multi-drawing urn model. At each discrete time step, we draw uniformly at random a sample of m balls (m≥1) and note their color, they will be returned to the urn together with a random number of balls depending on the sample’s composition. The replacement rule is a 2 × 2 matrix depending on bounded discrete positive random variables. Using a stochastic approximation algorithm and martingales methods, we investigate the asymptotic behavior of the urn after many draws.

scholarly journals Multiple drawing multi-colour urns by stochastic approximation

2018 ◽  
Vol 55 (1) ◽  
pp. 254-281 ◽  
Author(s):  
Nabil Lasmar ◽  
Cécile Mailler ◽  
Olfa Selmi
Keyword(s):  
Markov Process ◽  
Stochastic Approximation ◽  
Discrete Time ◽  
Main Idea ◽  
Approximation Methods ◽  
Asymptotic Results ◽  
Time Step ◽  
Urn Scheme ◽  
First Time ◽  
Replacement Rule

Abstract A classical Pólya urn scheme is a Markov process where the evolution is encoded by a replacement matrix (Ri, j)1 ≤ i, j ≤ d. At every discrete time-step, we draw a ball uniformly at random, denote its colour c, and replace it in the urn together with Rc, j balls of colour j (for all 1 ≤ j ≤ d). We study multiple drawing Pólya urns, where the replacement rule depends on the random drawing of a set of m balls from the urn (with or without replacement). Many particular examples of this situation have been studied in the literature, but the only general results are due to Kuba and Mahmoud (2017). These authors proved second-order asymptotic results in the two-colour case, under the so-called balance and affinity assumptions, the latter being somewhat artificial. The main idea of this work is to apply stochastic approximation methods to this problem, which enables us to prove analogous results to Kuba and Mahmoud, but without the artificial affinity hypothesis, and, for the first time in the literature, in the d-colour case (d ≥ 3). We also provide some partial results in the two-colour nonbalanced case, the novelty here being that the only results for this case currently in the literature are for particular examples.

scholarly journals An Introduction to Development of Centralized and Distributed Stochastic Approximation Algorithm with Expanding Truncations

Algorithms ◽  
2021 ◽  
Vol 14 (6) ◽  
pp. 174
Author(s):  
Wenxiao Zhao
Keyword(s):  
Approximation Algorithm ◽  
Stochastic Approximation ◽  
Probabilistic Method ◽  
Principal Component ◽  
Stochastic Approximation Algorithm ◽  
The Past ◽  
Systems And Control ◽  
Ode Method ◽  
Centralized Algorithm ◽  
And Control

The stochastic approximation algorithm (SAA), starting from the pioneer work by Robbins and Monro in 1950s, has been successfully applied in systems and control, statistics, machine learning, and so forth. In this paper, we will review the development of SAA in China, to be specific, the stochastic approximation algorithm with expanding truncations (SAAWET) developed by Han-Fu Chen and his colleagues during the past 35 years. We first review the historical development for the centralized algorithm including the probabilistic method (PM) and the ordinary differential equation (ODE) method for SAA and the trajectory-subsequence method for SAAWET. Then, we will give an application example of SAAWET to the recursive principal component analysis. We will also introduce the recent progress on SAAWET in a networked and distributed setting, named the distributed SAAWET (DSAAWET).

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