Asymptotic optimality for consensus-type stochastic approximation algorithms using iterate averaging

Abstract

This paper introduces a post-iteration averaging algorithm to achieve asymptotic optimality in convergence rates of stochastic approximation algorithms for consensus control with structural constraints. The algorithm involves two stages. The first stage is a coarse approximation obtained using a sequence of large stepsizes. Then, the second stage provides a refinement by averaging the iterates from the first stage. We show that the new algorithm is asymptotically efficient and gives the optimal convergence rates in the sense of the best scaling factor and ‘smallest’ possible asymptotic variance.