EVENT-DRIVEN STOCHASTIC APPROXIMATION

We consider a Robbins-Monro type iteration wherein noisy measurements are event-driven and therefore arrive asynchronously. We propose a modification of step-sizes that ensures desired asymptotic behaviour regardless of this aspect. This generalizes earlier results on asynchronous stochastic approximation wherein the asynchronous behaviour is across different components, but not along the same component of the vector iteration, as is the case considered here