Convergence of the Robbins-Monro method for linear problems in a Banach space

DOI10.1016/0022-247X(89)90235-7zbMATH Open0683.62041OpenAlexW2079867248MaRDI QIDQ1824970FDOQ1824970

Authors: Harro Walk, László Zsidó 

Publication date: 1989

Published in: Journal of Mathematical Analysis and Applications (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/0022-247x(89)90235-7

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zbMATH Keywords

almost sure convergenceBanach spacebounded linear operatoriterative solutionrecursive formulaRobbins-Monro method

Mathematics Subject Classification ID

Probability theory on linear topological spaces (60B11) Stochastic approximation (62L20) Limit theorems for vector-valued random variables (infinite-dimensional case) (60B12)

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Cited In (12)

• Convergence from below of the modified Robbins-Monro procedure
• The averaged Robbins-Monro method for linear problems in a Banach space
• Rate of convergence of stochastic approximation procedures in a Banach space
• Distribution-free robust linear regression
• Recursive estimation: asymptotic confidence regions by empirical quantiles
• An almost sure invariance principle for stochastic approximation procedures in linear filtering theory
• Estimating structural parameters in regression models with adaptive learning
• Convergence rates and decoupling in linear stochastic approximation algorithms
• Exact bounds for the rate of convergence in general stochastic approximation procedures
• Stochastic fictitious play with continuous action sets
• Weighted averaging and stochastic approximation
• On the asymptotic behaviour of linear learning processes with partial forgetting

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