How statement and proof provenance work
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A bounded-noise Robbins–Monro scalar root
Example
Consider with root , initial point , and a noise sequence where each is -measurable and satisfies and . No independence across iterations is assumed. Use steps and oracle . Verify the strong-monotonicity, stability, and stepsize conditions for the almost-sure Robbins–Monro theorem.
Facts & Assumptions
Given: The one-dimensional filtered model and noise conditions in the Example.
The Axiom of Choice: AC is used by the conditional-expectation and almost-sure convergence interfaces.
Filtration-adapted stochastic-gradient oracles and Robbins–Monro updates: , and conditional means and moments are interpreted almost surely.
The p-series for a real exponent p converges exactly when p is greater than one: diverges for and converges for .
Robbins–Monro converges almost surely for a strongly monotone root: a strongly monotone drift with a root, uniform conditional second moment, and positive steps with divergent sum and square-summable squares gives almost-sure convergence.
The Euclidean inner product on : in dimension one, .
Taking out what is known: a known integrable factor may be taken outside conditional expectation.
Basic algebra and order properties of conditional expectation: conditional expectation is linear and fixes integrable measurable quantities.
The principle of mathematical induction: a bound true at the first index and inherited by each successor holds at every natural index.
Cauchy-Schwarz with its equality case, the triangle inequality for , the parallelogram law and polarisation: the Euclidean norm satisfies the triangle inequality.
Verification
Since , [F7] and [F8] give : it holds at , and if then Taking out the -measurable with [F5] and using [F6] with the stated conditional moments gives and . Also , so is strongly monotone with .
By [F2], and . Each . Thus [F3] applies with , proving almost surely.
Depends on
- Filtration-adapted stochastic-gradient oracles and Robbins–Monro updates
- Robbins–Monro converges almost surely for a strongly monotone root
- The p-series for a real exponent p converges exactly when p is greater than one
- Taking out what is known
- Basic algebra and order properties of conditional expectation
- The Axiom of Choice
- The Euclidean inner product $\langle x,y\rangle = \sum_{k<n} x_k y_k$ on $\mathbb{R}^n$
- The principle of mathematical induction
- Cauchy-Schwarz $\lvert\langle x,y\rangle\rvert \le \lVert x\rVert_2\lVert y\rVert_2$ with its equality case, the triangle inequality for $\lVert\cdot\rVert_2$, the parallelogram law and polarisation
Used by
Nothing in the library uses this result yet.
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