Asymptotically optimal rate of convergence of smoothed stochastic recursive algorithms

DOI10.1080/17442509408833881MaRDI QIDQ4840924zbMATH OpenOpenAlexFDO

Authors K. Yin, G. Yin

Publication date 20 November 1995

Published in Stochastics and Stochastic Reports (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1080/17442509408833881

zbMATH Keywords

smoothingBrownian motionaveragingasymptotic optimalitycorrelated noise processes

Mathematics Subject Classification ID

Probabilistic methods, stochastic differential equations (65C99) Stochastic approximation (62L20)

Recommendations

• scientific article; zbMATH DE number 440564
• Stochastic Approximation with Averaging of the Iterates: Optimal Asymptotic Rate of Convergence for General Processes
• scientific article; zbMATH DE number 125286
• Stochastic optimization with averaging of trajectories
• Asymptotic properties of stochastic approximation procedures in the case of correlated noise

Cited in

(12)

• scientific article; zbMATH DE number 744084 (Why is no real title available?)
• Asymptotic optimality for consensus-type stochastic approximation algorithms using iterate averaging
• Sufficient and necessary condition for the convergence of stochastic approximation algorithms
• Smoothed Functionals and Constrained Stochastic Approximation
• On a stochastic approximation procedure based on averaging
• scientific article; zbMATH DE number 2217619 (Why is no real title available?)
• Asymptotic normality and optimality in nonsmooth stochastic approximation
• Weighted averaging and stochastic approximation
• MINISYMPOSIUM 3
• Stochastic approximation algorithms: overview and recent trends.
• Asymptotically efficient smoothing in the Wicksell problem under squared losses
• A class of learning/estimation algorithms using nominal values: Asymptotic analysis and applications

This page was built for publication: Asymptotically optimal rate of convergence of smoothed stochastic recursive algorithms

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q4840924)