Martingales and the Robbins-Monro procedure in D[0,1]

DOI10.1016/0047-259X(78)90065-9MaRDI QIDQ1251880zbMATH OpenOpenAlexFDO

Authors Harro Walk

Publication date 1978

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

Full work available at URL https://doi.org/10.1016/0047-259x(78)90065-9

zbMATH Keywords

Invariance PrincipleMartingalesRobBins-Monro ProcedureSkorohod TopologySpace of Real-Valued FunctionsStrong Law of Large Numbers

Mathematics Subject Classification ID

Convergence of probability measures (60B10) Strong limit theorems (60F15) Martingales with continuous parameter (60G44) Stochastic approximation (62L20)

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Cited in

(7)

• Asymptotic behaviour of a class of stochastic approximation procedures
• Minimizing noisy functionals in Hilbert space: An extension of the Kiefer-Wolfowitz procedure
• Newsvendor-type models with decision-dependent uncertainty
• Asymptotic confidence regions of stochastic approximation procedures in Hilbert spaces
• Recursive estimation: asymptotic confidence regions by empirical quantiles
• Partial least squares for functional joint models with applications to the Alzheimer's disease neuroimaging initiative study
• Finite dimensional approximation and Newton-based algorithm for stochastic approximation in Hilbert space

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