Multivariate adaptive stochastic approximation (Q1122912)

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.