Uncertainty Quantification for Stochastic Approximation Limits Using Chaos Expansion

Stéphane Crépey (1) , Gersende Fort (2) , Emmanuel Gobet (3) , Uladzislau Stazhynski (3)

1 LaMME - Laboratoire de Mathématiques et Modélisation d'Evry
2 IMT - Institut de Mathématiques de Toulouse UMR5219
3 CMAP - Centre de Mathématiques Appliquées - Ecole Polytechnique

Mots clés: Stochastic Approximation in Hilbert space; Uncertainty Quantification; Chaos expansion; Stochas- tic Programming; Almost-sure convergence.

Domaines: Probabilités [math.PR]; Applications [stat.AP]; Machine Learning [stat.ML]

Stéphane Crépey, Gersende Fort, Emmanuel Gobet, Uladzislau Stazhynski. Uncertainty Quantification for Stochastic Approximation Limits Using Chaos Expansion. 2017. ⟨hal-01629952v2⟩