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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.
1976 (English)Report (Other academic)
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
Linköping: Linköping University , 1976.
Series
LiTH-ISY-I, ISSN 8765-4321 ; 126
Keyword [en]
Recursive stochastic algorithms, Stochastic approximation
National Category
Control Engineering
Identifiers
URN: urn:nbn:se:liu:diva-104470OAI: oai:DiVA.org:liu-104470DiVA: diva2:697139
Available from: 2014-02-17 Created: 2014-02-17 Last updated: 2014-02-17

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Ljung, Lennart

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