On the choice of step size in the Robbins-Monro procedure (Q1110965)

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.