A weak convergence theorem with application to the Robbins-Monro process

DOI10.1214/AOP/1176995390MaRDI QIDQ1257283zbMATH OpenOpenAlexFDO

Authors Götz Kersting

Publication date 1978

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

Full work available at URL https://doi.org/10.1214/aop/1176995390

zbMATH Keywords

Asymptotic DistributionCentral Limit TheoremCoupling-ArgumentRobBins-Monro-Procedure

Mathematics Subject Classification ID

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

Cited in

(8)

• On Kersting's proof of the central limit theorem
• Weak convergence rates for stochastic approximation with application to multiple targets and simulated annealing
• Weak convergence of recursions
• Lower error bounds for the stochastic gradient descent optimization algorithm: sharp convergence rates for slowly and fast decaying learning rates
• Asymptotic behavior of a modified stochastic optimization procedure in an averaging scheme
• Asymptotic behavior for the Robbins-Monro process
• A functional central limit theorem for a class of urn models
• Central and functional central limit theorems for a class of urn models

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