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Strong Convergence of a Stochastic Approximation Algorithm
Linköping University, Department of Electrical Engineering, Automatic Control. Linköping University, The Institute of Technology.
1978 (English)In: Annals of Statistics, ISSN 0090-5364, E-ISSN 2168-8966, Vol. 6, no 3, 680-696 p.Article in journal (Refereed) Published
Abstract [en]

Convergence with probability one of a recursive stochastic approximation algorithm is considered. Some extensions of previous results for the Robbins-Monro and the Kiefer-Wolfowitz procedures are given. An inportant feature of the approach taken here is that the convergence analysis can be directly extended to more complex algorithms.

Place, publisher, year, edition, pages
Institute of Mathematical Statistics, 1978. Vol. 6, no 3, 680-696 p.
Keyword [en]
Recursive stochastic algorithms, Stochastic approximation
National Category
Control Engineering
Identifiers
URN: urn:nbn:se:liu:diva-100866DOI: 10.1214/aos/1176344212OAI: oai:DiVA.org:liu-100866DiVA: diva2:664071
Available from: 2013-11-13 Created: 2013-11-13 Last updated: 2017-12-06

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Ljung, Lennart

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