On the Averaged Stochastic Approximation for Linear Regression

DOI10.1137/S0363012992226661zbMath0849.62044OpenAlexW2005824555MaRDI QIDQ4874940

Harro Walk, László Györfi

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

adaptive filteringasymptotic normalitymixingalmost sure convergenceasymptotic 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)

Related Items (5)

Weighted averaging and stochastic approximation ⋮ Functional central limit theorem and strong law of large numbers for stochastic gradient Langevin dynamics ⋮ The averaged Robbins-Monro method for linear problems in a Banach space ⋮ Harder, Better, Faster, Stronger Convergence Rates for Least-Squares Regression ⋮ A Finite Time Analysis of Temporal Difference Learning with Linear Function Approximation

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