Multivariate adaptive stochastic approximation (Q1122912)
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scientific article; zbMATH DE number 4107967
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| English | Multivariate adaptive stochastic approximation |
scientific article; zbMATH DE number 4107967 |
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Multivariate adaptive stochastic approximation (English)
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1987
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A multivariate version of the adaptive stochastic approximation procedure of Robbins-Monro type developed recently by \textit{T. L. Lai} and \textit{H. Robbins} [Proc. Natl. Acad. Sci. USA 75, 586-587 (1978; Zbl 0374.62084), ibid. 76, 3065-3067 (1979; Zbl 0414.62064), and Ann. Stat. 7, 1196-1221 (1979; Zbl 0426.62059)] is investigated. The procedure proposed involves a Venter-type estimate of the Jacobian of the response function. It is shown to be asymptotically efficient not only from the estimation but also from the control point of view.
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multivariate version
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adaptive stochastic approximation procedure of Robbins-Monro type
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Venter-type estimate of the Jacobian of the response function
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