A Newton-Raphson version of the multivariate Robbins-Monro procedure

DOI10.1214/AOS/1176346589MaRDI QIDQ1061434zbMATH OpenOpenAlexFDO

Authors David Ruppert

Publication date 1985

Published in The Annals of Statistics (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1214/aos/1176346589

zbMATH Keywords

asymptotic normalityasymptotic efficiencyNewton-RaphsonRobbins-Monro procedureroot findingGauss-Newton algorithma.s. convergence

Mathematics Subject Classification ID

Central limit and other weak theorems (60F05) Stochastic approximation (62L20) Strong limit theorems (60F15)

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Cited in

(21)

• Fundamental design principles for reinforcement learning algorithms
• Asymptotic Properties of Some Projection-based Robbins-Monro Procedures in a Hilbert Space
• LSOS: Line-search second-order stochastic optimization methods for nonconvex finite sums
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• Computing highly accurate confidence limits from discrete data using importance sampling
• scientific article; zbMATH DE number 4157849 (Why is no real title available?)
• Non-asymptotic confidence bounds for stochastic approximation algorithms with constant step size
• Sequential Estimation in Stochastic Approximation Problem with Autoregressive Errors in Observations
• A new sequential design based on the Robbins-Monro procedure
• Smoothed functional algorithms for stochastic optimization using \(q\)-Gaussian distributions
• Asymptotic properties of dual averaging algorithm for constrained distributed stochastic optimization
• Efficient and fast estimation of the geometric median in Hilbert spaces with an averaged stochastic gradient algorithm
• Regression estimation by local polynomial fitting for multivariate data streams
• Adaptive random search for continuous simulation optimization
• Multidimensional stochastic approximation
• Efficient Robbins–Monro procedure for multivariate binary data
• Stochastic approximation algorithms: overview and recent trends.
• A gradient method for unconstrained optimization in noisy environment
• Stochastic approximation: from statistical origin to big-data, multidisciplinary applications

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