Multivariate adaptive stochastic approximation

DOI10.1214/AOS/1176350496zbMATH Open0676.62064OpenAlexW1991619992MaRDI QIDQ1122912FDOQ1122912

Authors: Ching-Zong Wei 

Publication date: 1987

Published in: The Annals of Statistics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1214/aos/1176350496

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zbMATH Keywords

multivariate versionadaptive stochastic approximation procedure of Robbins-Monro typeVenter-type estimate of the Jacobian of the response function

Mathematics Subject Classification ID

Stochastic approximation (62L20)

Cited In (28)

• Multidimensional stochastic approximation
• Stochastic approximation: from statistical origin to big-data, multidisciplinary applications
• Asymptotic optimality for consensus-type stochastic approximation algorithms using iterate averaging
• General multilevel adaptations for stochastic approximation algorithms of Robbins-Monro and Polyak-Ruppert type
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• A stochastic approximation algorithm for maximum-likelihood estimation with incomplete data
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• A gradient method for unconstrained optimization in noisy environment
• Continuous-time stochastic approximation: Convergence and asymptotic efficiency
• Experiments with an adaptive multicut-HDMR map generation for slowly varying continuous multivariate functions
• A skewed version of the Robbins-Monro-Joseph procedure for binary response
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• Scalable estimation strategies based on stochastic approximations: classical results and new insights
• An Adaptive Sampling and Domain Learning Strategy for Multivariate Function Approximation on Unknown Domains
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• About Gaussian schemes in stochastic approximation
• Nonlinear stochastic approximation procedures for \(L_ p\) loss functions
• On a continuous time stochastic approximation problem
• Martingale transforms with non-atomic limits and stochastic approximation
• Batching Adaptive Variance Reduction
• Simulation optimization: a review and exploration in the new era of cloud computing and big data
• Multiple-source adaptation theory and algorithms
• Stochastic approximation
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• A Bayesian stochastic approximation method
• Stochastic approximation with compound delayed observations
• Strong representation of an adaptive stochastic approximation procedure
• Efficient Robbins–Monro procedure for multivariate binary data

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