On a stochastic approximation procedure based on averaging

DOI10.1007/BF02614063zbMath0906.62076MaRDI QIDQ2564980

Rainer Schwabe, Harro Walk

Publication date: 1996

Published in: Metrika (Search for Journal in Brave)

Full work available at URL: https://eudml.org/doc/176683

zbMATH Keywords

averagingoptimal rate of convergenceRobbins-Monro processalmost sure representationminimal asymptotic variance

Mathematics Subject Classification ID

Strong limit theorems (60F15) Stochastic approximation (62L20)

Related Items (5)

Weighted averaging and stochastic approximation ⋮ On recursive estimation for hidden Markov models ⋮ Adaptive optimal scaling of Metropolis–Hastings algorithms using the Robbins–Monro process ⋮ Online estimation of the asymptotic variance for averaged stochastic gradient algorithms ⋮ Adaptive designs for quantal dose-response experiments with false answers

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