On a proof of Robbins-Monro algorithm

DOI10.1007/BF00940033MaRDI QIDQ1117842zbMATH OpenOpenAlexFDO

Authors S. H. Smith

Publication date 1990

Published in Journal of Optimization Theory and Applications (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1007/bf00940033

zbMATH Keywords

stochastic approximationstochastic algorithmdescent directionMonte Carlo simulationsstationary pointssupermartingalesgradient evaluationsRobbins-Monro algorithms

Mathematics Subject Classification ID

Numerical mathematical programming methods (65K05) Nonlinear programming (90C30) Numerical methods based on nonlinear programming (49M37)

Cites work

• A stochastic algorithm using one sample point per iteration and diminishing step-sizes
• Analysis of recursive stochastic algorithms
• On a proof of Robbins-Monro algorithm
• Stochastic approximation methods for constrained and unconstrained systems

Cited in

(4)

• The Robbins problem: computer proofs and human proofs
• On a proof of Robbins-Monro algorithm
• A derivation of Kohnert's algorithm from Monk's rule
• A Robbins–Monro-based Sequential Procedure

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