On the Averaged Stochastic Approximation for Linear Regression

DOI10.1137/S0363012992226661MaRDI QIDQ4874940zbMATH OpenOpenAlexFDO

Authors László Györfi, Harro Walk

Publication date 11 June 1996

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

Full work available at URL https://doi.org/10.1137/s0363012992226661

zbMATH Keywords

asymptotic normalitymixingalmost sure convergenceadaptive filteringasymptotic covariance matrixconstant gainergodic observationsaverage of stochastic approximationmartingale case

Mathematics Subject Classification ID

Linear regression; mixed models (62J05) Filtering in stochastic control theory (93E11) Stochastic approximation (62L20)

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(18)

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• Stochastic approximation with averaging and feedback: rapidly convergent "on-line" algorithms
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• Convergence guarantees for forward gradient descent in the linear regression model
• Harder, Better, Faster, Stronger Convergence Rates for Least-Squares Regression
• Recursive least-squares and accelerated convergence in stochastic approximation schemes
• Stochastic approximation for local martingale error and random gain process.
• Revisiting R\'ev\'esz's stochastic approximation method for the estimation of a regression function
• Averaging for estimating covariances in stochastic approximation
• Online estimation of the asymptotic variance for averaged stochastic gradient algorithms
• The multivariate Révész's online estimator of a regression function and its averaging
• On averaging methods for identification of linear regression models
• Weighted averaging and stochastic approximation
• A stochastic estimation algorithm with observation averaging
• A finite time analysis of temporal difference learning with linear function approximation
• Some results about averaging in stochastic approximation
• On stochastic approximation procedures with averaging
• Functional central limit theorem and strong law of large numbers for stochastic gradient Langevin dynamics

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