Stochastic approximation on non-compact measure spaces and application to measure-valued Pólya processes

Abstract

Our main result is to prove almost-sure convergence of a stochastic-approximation algorithm defined on the space of measures on a non-compact space. Our motivation is to apply this result to measure-valued Pólya processes (MVPPs, also known as infinitely-many Pólya urns). Our main idea is to use Foster-Lyapunov type criteria in a novel way to generalize stochastic-approximation methods to measure-valued Markov processes with a non-compact underlying space, overcoming in a fairly general context one of the major difficulties of existing studies on this subject. From the MVPPs point of view, our result implies almost-sure convergence of a large class of MVPPs, this convergence was only obtained until now for specific examples, with only convergence in probability established for general classes. Furthermore, our approach allows us to extend the definition of MVPPs by adding weights to the different colors of the infinitely-many-color urn. We also exhibit a link between non-balanced MVPPs and quasi-stationary distributions of Markovian processes, which allows us to treat, for the first time in the literature, the non-balanced case.
Finally, we show how our result can be applied to designing stochastic-approximation algorithms for the approximation of quasi-stationary distributions of discrete- and continuous-time Markov processes on non-compact spaces.