Rates of Convergence for Stochastic Approximation Type Algorithms

DOI10.1137/0317043zbMATH Open0418.93093OpenAlexW1989240959MaRDI QIDQ3852091FDOQ3852091

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
• A New Recursive Estimation Method for Single Input Single Output Models
• Sur quelques algorithmes récursifs pour les probabilités numériques
• 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

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