Concentration bounds for stochastic approximations

DOI10.1214/ECP.v17-1952zbMath1252.60065arXiv1204.3730MaRDI QIDQ456280

Noufel Frikha, Stéphane Menozzi

Publication date: 23 October 2012

Published in: Electronic Communications in Probability (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1204.3730

zbMATH Keywords

Euler schemestochastic approximation algorithmsGaussian concentrationnon asymptotic bounds

Mathematics Subject Classification ID

Monte Carlo methods (65C05) Computational methods for stochastic equations (aspects of stochastic analysis) (60H35) Numerical solutions to stochastic differential and integral equations (65C30)

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