Rates of Convergence for Stochastic Approximation Type Algorithms

DOI10.1137/0317043MaRDI QIDQ3852091zbMATH OpenOpenAlexFDO

Authors Harold J. Kushner, Hai Huang

Publication date 1979

Published in SIAM Journal on Control and Optimization (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1137/0317043

zbMATH Keywords

adaptive controlstochastic approximation algorithmidentification problemsGaussian diffusion

Mathematics Subject Classification ID

Stochastic approximation (62L20) Adaptive control/observation systems (93C40) Identification in stochastic control theory (93E12)

Cited in

(10)

• Rates of convergence of adaptive step-size of stochastic approximation algorithms
• Sur quelques algorithmes récursifs pour les probabilités numériques
• A new recursive estimation method for single input single output models
• Central limit theorems for stochastic approximation with controlled Markov chain dynamics
• Weak convergence rates for stochastic approximation with application to multiple targets and simulated annealing
• Artificial neural networks: an econometric perspective^∗
• Conditional tail probabilities in continuous-time martingale LLN with application to parameter estimation in diffusions
• Adaptation and tracking in system identification - a survey
• Derivative-free optimization methods
• Near-optimal solutions of convex semi-infinite programs via targeted sampling

This page was built for publication: Rates of Convergence for Stochastic Approximation Type Algorithms

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q3852091)