A Closed-Measure Approach to Stochastic Approximation

This paper introduces a new method to tackle the issue of the almost sure convergence of stochastic approximation algorithms defined from a differential inclusion. Under the assumption of slowly decaying step-sizes, we establish that the set of essential accumulation points of the iterates belongs to the Birkhoff centre associated with the differential inclusion. Unlike previous works, our results do not rely on the notion of asymptotic pseudotrajectories, predominant technique to address the convergence problem. They follow as a consequence of Young's superposition principle for closed measures. This perspective bridges the gap between Young's principle and the notion of invariant measure of set-valued dynamical systems introduced by Faure and Roth. Also, the proposed method allows for obtaining sufficient conditions under which the velocities locally compensate around any essential accumulation point.