Bias in Stochastic Approximation Cannot Be Eliminated With Averaging

Caio Kalil Lauand, Sean P. Meyn

Abstract: This paper concerns bias and asymptotic statistics for stochastic approximation (SA) driven by Markovian noise. This extended abstract is organized into three parts: 1. Background, 2. Asymptotic statistics with Markovian noise, 3. Quasi stochastic approximation.