On the Averaged Stochastic Approximation for Linear Regression

DOI10.1137/S0363012992226661zbMATH Open0849.62044OpenAlexW2005824555MaRDI QIDQ4874940FDOQ4874940

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

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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)

Cited In (19)

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

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