Asymptotic behaviour of a class of stochastic approximation procedures
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Publication:1061435
DOI10.1007/BF00699040zbMath0571.62073MaRDI QIDQ1061435
Publication date: 1986
Published in: Probability Theory and Related Fields (Search for Journal in Brave)
real Banach spaceunified approachRobbins-MonroKiefer-Wolfowitzvariants of the bounded and the functional law of the iterated logarithmweak and almost sure invariance principles
Central limit and other weak theorems (60F05) Strong limit theorems (60F15) Stochastic approximation (62L20) Functional limit theorems; invariance principles (60F17)
Related Items (14)
A stochastic Remes algorithm ⋮ An almost sure invariance principle for stochastic approximation procedures in linear filtering theory ⋮ The local asymptotic minimax adaptive property of a recursive estimate ⋮ Optimal scaling and diffusion limits for the Langevin algorithm in high dimensions ⋮ Stochastic fictitious play with continuous action sets ⋮ Optimal scaling of the MALA algorithm with irreversible proposals for Gaussian targets ⋮ Diffusion limits of the random walk Metropolis algorithm in high dimensions ⋮ Accelerated randomized stochastic optimization. ⋮ Noisy gradient flow from a random walk in Hilbert space ⋮ On the stability of sequential Monte Carlo methods in high dimensions ⋮ A function space HMC algorithm with second order Langevin diffusion limit ⋮ Parallel and bootstrapped stochastic approximation ⋮ On the almost sure asymptotic behaviour of stochastic algorithm ⋮ Diffusion limit for the random walk Metropolis algorithm out of stationarity
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