Continuous-time stochastic approximation: Convergence and asymptotic efficiency

DOI10.1080/17442509408833947MaRDI QIDQ4885240zbMATH OpenOpenAlexFDO

Authors Hanfu Chen

Publication date 4 November 1996

Published in Stochastics and Stochastic Reports (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1080/17442509408833947

zbMATH Keywords

averagingcontinuous-time stochastic approximationefficiencyrandom truncationsslow gain

Mathematics Subject Classification ID

Strong limit theorems (60F15) Minimax procedures in statistical decision theory (62C20)

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Cites work

• Acceleration of Stochastic Approximation by Averaging
• An Extension of the Robbins-Monro Procedure
• Analysis of recursive stochastic algorithms
• Convergence and robustness of the Robbins-Monro algorithm truncated at randomly varying bounds
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• scientific article; zbMATH DE number 3780265 (Why is no real title available?)
• Multivariate adaptive stochastic approximation
• On extensions of Polyak's averaging approach to stochastic approximation
• Robustness analysis for stochastic approximation algorithms
• Stochastic approximation methods for constrained and unconstrained systems

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(10)

• Convergence analysis of dynamic stochastic approximation
• On a continuous time stochastic approximation problem
• Asymptotic expansions for the stochastic approximation averaging procedure in continuous time
• Two-timescale stochastic gradient descent in continuous time with applications to joint online parameter estimation and optimal sensor placement
• Continuous-time Kiefer-Wolfowitz algorithm with randomized differences
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• Asymptotically efficient stochastic approximation
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• Extremum seeking under stochastic noise and applications to mobile sensors

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