On the choice of step size in the Robbins-Monro procedure (Q1110965)
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scientific article; zbMATH DE number 4074258
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | On the choice of step size in the Robbins-Monro procedure |
scientific article; zbMATH DE number 4074258 |
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On the choice of step size in the Robbins-Monro procedure (English)
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1988
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The Robbins-Monro procedure is investigated for various choices of step sizes, including those of the form c/n log n, \(c>0\). Rates of convergence using this and other choices are compared to rates obtained using \(cn^{\beta}\), for \(\beta\in (,1]\). Of all choices considered, it is seen that a procedure of \textit{V. Fabian}'s [Ann. Math. Stat. 39, 1327- 1332 (1968; Zbl 0176.484)] yields the best rate of convergence.
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Robbins-Monro procedure
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choices of step sizes
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Rates of convergence
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