On a proof of Robbins-Monro algorithm

DOI10.1007/BF00940033zbMath0667.90087OpenAlexW1974932915MaRDI QIDQ1117842

S. H. Smith

Publication date: 1990

Published in: Journal of Optimization Theory and Applications (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/bf00940033

zbMATH Keywords

stochastic approximationsupermartingalesMonte Carlo simulationsstationary pointsstochastic algorithmdescent directiongradient evaluationsRobbins-Monro algorithms

Mathematics Subject Classification ID

Numerical mathematical programming methods (65K05) Nonlinear programming (90C30) Numerical methods based on nonlinear programming (49M37)

Related Items (1)

On a proof of Robbins-Monro algorithm

Cites Work

• A stochastic algorithm using one sample point per iteration and diminishing step-sizes
• On a proof of Robbins-Monro algorithm
• Stochastic approximation methods for constrained and unconstrained systems
• Analysis of recursive stochastic algorithms

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