Strong Convergence of a Stochastic Approximation Algorithm
1978 (English)In: Annals of Statistics, ISSN 0090-5364, Vol. 6, no 3, 680-696 p.Article in journal (Refereed) Published
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.
Recursive stochastic algorithms, Stochastic approximation
IdentifiersURN: urn:nbn:se:liu:diva-100866DOI: 10.1214/aos/1176344212OAI: oai:DiVA.org:liu-100866DiVA: diva2:664071