Non-asymptotic confidence bounds for stochastic approximation algorithms with constant step size (Q753365)
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| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Non-asymptotic confidence bounds for stochastic approximation algorithms with constant step size |
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Non-asymptotic confidence bounds for stochastic approximation algorithms with constant step size (English)
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1990
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The multidimensional Robbins-Monro procedure with independent errors and constant step-size is considered. A comparison result for the stationary distribution of Markovian processes is derived which allows to bound the level of confidence regions. A stopping time which is based on the inner products of subsequent gradient estimates is introduced. It is shown that this stoppig time leads to confidence regions with a coverage probability which is uniform in the starting value.
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non-asymptotic confidence bounds
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multidimensional Robbins-Monro procedure
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independent errors
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constant step-size
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comparison result
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stationary distribution of Markovian processes
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confidence regions
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stopping time
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inner products of subsequent gradient estimates
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coverage probability
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