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

DOI10.1080/07474946.2016.1165537MaRDI QIDQ2816634zbMATH OpenOpenAlexFDO

Authors 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

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)

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Cites work

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• Correlation inequalities on some partially ordered sets
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Cited in

(2)

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

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