On the choice of step size in the Robbins-Monro procedure
type: Item
instance of: scholarly article
title: On the choice of step size in the Robbins-Monro procedure
zbMATH Open document ID: 0657.62094
DOI: 10.1016/0167-7152(88)90003-X
author: Larry Goldstein
published in: Statistics \& Probability Letters
publication date: 1988-01-01T00:00:00Z
review text: 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.
Mathematics Subject Classification ID: 62L20
zbMATH DE Number: 4074258
zbMATH Keywords: Robbins-Monro procedure
zbMATH Keywords: choices of step sizes
zbMATH Keywords: Rates of convergence
MaRDI profile type: Publication
cites work: Approximation Methods which Converge with Probability one
cites work: On a Stochastic Approximation Method
cites work: On Asymptotic Normality in Stochastic Approximation
cites work: Stochastic approximation methods for constrained and unconstrained systems
cites work: Q4131338
cites work: A limit theorem for the Robbins-Monro approximation
cites work: A Stochastic Approximation Method
cites work: Asymptotic Distribution of Stochastic Approximation Procedures
full work available at URL: 0167-7152(88)90003-x
OpenAlex ID: W1971045158
description: scientific article; zbMATH DE number 4074258