Complete convergence of stochastic approximation algorithm in R^d under random noises

DOI10.1080/07474946.2016.1165537zbMATH Open1351.65007OpenAlexW2465882586MaRDI QIDQ2816634FDOQ2816634

Idir Arab, Abdelnasser Dahmani

Publication date: 25 August 2016

Published in: Sequential Analysis (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/07474946.2016.1165537

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zbMATH Keywords

convergencestochastic approximationBernstein inequalitiesexponential boundsdependent noiseindependent noiseHoeffding's inequlaityroot of a function

Mathematics Subject Classification ID

Measures of association (correlation, canonical correlation, etc.) (62H20) Sequential statistical analysis (62L10) Inequalities; stochastic orderings (60E15) Strong limit theorems (60F15) White noise theory (60H40)

Cites Work

• A Stochastic Approximation Method
• Association of Random Variables, with Applications
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• An exponential inequality under weak dependence
• On Asymptotic Normality in Stochastic Approximation
• Correlation inequalities on some partially ordered sets
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• On a Stochastic Approximation Method
• Normal approximation for quasi-associated random fields
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• Almost sure approximations to the Robbins-Monro and Kiefer-Wolfowitz processes with dependent noise
• Asymptotic Distribution of Stochastic Approximation Procedures
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• General convergence results for stochastic approximations via weak convergence theory
• Strong convergence of a stochastic approximation algorithm
• Exponential bounds in stochastic approximation procedures

Cited In (2)

• Asymptotic behavior for the Robbins–Monro process
• Robbins-Monro algorithm with \(\psi\)-mixing random errors

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