On H-valued Robbins-Monro processes

DOI10.1016/0047-259X(90)90064-OMaRDI QIDQ915322zbMATH OpenFDO

Authors G. Yin, Yunmin Zhu

Publication date 1990

Published in Journal of Multivariate Analysis (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1016/0047-259X(90)90064-O

zbMATH Keywords

asymptotic propertiesHilbert spacenecessary and sufficient conditionsnonlinear mappingrate of convergenceRobbins-Monro processesvarying truncation

Mathematics Subject Classification ID

Limit theorems for vector-valued random variables (infinite-dimensional case) (60B12) Strong limit theorems (60F15) Stochastic approximation (62L20)

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Cites work

• A stopping rule for the Robbins-Monro method
• Abstract stochastic approximations and applications
• An invariance principle for the Robbins-Monro process in a Hilbert space
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• On the rate of convergence of the Robbins-Monro method

Cited in

(16)

• Rate of convergence of stochastic approximation procedures in a Banach space
• A variational inequality based stochastic approximation for inverse problems in stochastic partial differential equations
• Stochastic proximal gradient methods for nonconvex problems in Hilbert spaces
• A regularized stochastic subgradient projection method for an optimal control problem in a stochastic partial differential equation
• Relative entropy minimization over Hilbert spaces via Robbins-Monro
• Asymptotic Properties of Some Projection-based Robbins-Monro Procedures in a Hilbert Space
• Algorithms for Kullback-Leibler approximation of probability measures in infinite dimensions
• scientific article; zbMATH DE number 3940519 (Why is no real title available?)
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• On h–valued stochastic approximation: finite dimenstional projections
• An iteratively regularized stochastic gradient method for estimating a random parameter in a stochastic PDE. A variational inequality approach
• Uncertainty quantification for stochastic approximation limits using chaos expansion
• Projected stochastic gradients for convex constrained problems in Hilbert spaces
• Partial least squares for functional joint models with applications to the Alzheimer's disease neuroimaging initiative study
• Two-norm discrepancy and convergence of the stochastic gradient method with application to shape optimization
• On the use of stochastic approximation in recursive estimation

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