On the Averaged Stochastic Approximation for Linear Regression
From MaRDI portal
Publication:4874940
DOI10.1137/S0363012992226661zbMath0849.62044MaRDI QIDQ4874940
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
adaptive filtering; asymptotic normality; mixing; almost sure convergence; asymptotic covariance matrix; constant gain; ergodic observations; average of stochastic approximation; martingale case
62J05: Linear regression; mixed models
93E11: Filtering in stochastic control theory
62L20: Stochastic approximation
Related Items
Harder, Better, Faster, Stronger Convergence Rates for Least-Squares Regression, A Finite Time Analysis of Temporal Difference Learning with Linear Function Approximation, Functional central limit theorem and strong law of large numbers for stochastic gradient Langevin dynamics, Weighted averaging and stochastic approximation, The averaged Robbins-Monro method for linear problems in a Banach space