On Asymptotic Normality in Stochastic Approximation
From MaRDI portal
Publication:5568862
DOI10.1214/aoms/1177698258zbMath0176.48402OpenAlexW2066623346WikidataQ29029730 ScholiaQ29029730MaRDI QIDQ5568862
Publication date: 1968
Published in: The Annals of Mathematical Statistics (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1214/aoms/1177698258
Related Items (74)
Asymptotic behavior of a modified stochastic optimization procedure in an averaging scheme ⋮ Nonparametric recursive estimation of the copula ⋮ Stopping rules for optimization algorithms based on stochastic approximation ⋮ Wear convergence of stochastic approximation processes with random indices ⋮ Stochastic approximation of global minimum points ⋮ CENTRAL LIMIT THEORMS IN C[0,1 FOR A CLASS OF ESTIMATORS OF A DISTRIBUTION FUNCTION] ⋮ Approximation of the initial reserve for known ruin probabilities ⋮ A stochastic Remes algorithm ⋮ A combined direction stochastic approximation algorithm ⋮ A modified second‐order SPSA optimization algorithm for finite samples ⋮ On the interrelation of almost sure invariance principles for certain stochastic adaptive algorithms and for partial sums of random variables ⋮ Conditions of asymptotic efficiency of recursion estimates of the shift parameter ⋮ Asymptotic properties of dual averaging algorithm for constrained distributed stochastic optimization ⋮ Stochastic Perturbation Methods for Spike-Timing-Dependent Plasticity ⋮ An almost sure invariance principle for stochastic approximation procedures in linear filtering theory ⋮ On the choice of step size in the Robbins-Monro procedure ⋮ The local asymptotic minimax adaptive property of a recursive estimate ⋮ Unnamed Item ⋮ SIMULATION-BASED OPTIMIZATION BY NEW STOCHASTIC APPROXIMATION ALGORITHM ⋮ Normal approximation and large deviations for the Robbins-Monro Process ⋮ Statistical inference for model parameters in stochastic gradient descent ⋮ On recursive estimation for hidden Markov models ⋮ New stochastic approximation algorithms with adaptive step sizes ⋮ Importance accelerated Robbins-Monro recursion with applications to parametric confidence limits ⋮ A smoothing stochastic algorithm for quantile estimation ⋮ Artificial neural networks: an econometric perspective∗ ⋮ Simultaneous perturbation stochastic approximation: towards one-measurement per iteration ⋮ Variance-constrained actor-critic algorithms for discounted and average reward MDPs ⋮ Online Covariance Matrix Estimation in Stochastic Gradient Descent ⋮ A new hybrid stochastic approximation algorithm ⋮ A stopping rule for stochastic approximation ⋮ Distributed stochastic compositional optimization problems over directed networks ⋮ Open Problem—Adaptive Constant-Step Stochastic Approximation ⋮ A limit theorem for the Robbins-Monro approximation ⋮ Unnamed Item ⋮ Design issues for generalized linear models: a review ⋮ Generalization of a result of Fabian on the asymptotic normality of stochastic approximation ⋮ Stochastic optimisation with inequality constraints using simultaneous perturbations and penalty functions ⋮ Accelerated randomized stochastic optimization. ⋮ Why random reshuffling beats stochastic gradient descent ⋮ A one-measurement form of simultaneous perturbation stochastic approximation ⋮ An invariance principle for the Robbins-Monro process in a Hilbert space ⋮ Multivariate recursive m estimators of location for dependent sequences ⋮ Synchronization and functional central limit theorems for interacting reinforced random walks ⋮ Recursive estimation of quantitles using recursive kernel density estimators ⋮ Recursive estimates of quantile based on 0-1 observations ⋮ Estimation problems associated with stochastic modeling of proliferation and differentiation of O-2A progenitor cells in vitro ⋮ Estimation of an optimal solution of a LP problem with unknown objective function ⋮ On martingale limit theory and strong convergence results for stochastic approximation procedures ⋮ An asymptotically more efficient non-linear state estimation scheme based on the stochastic approximation† ⋮ Moderate deviations for Euler-Maruyama approximation of Hull-White stochastic volatility model ⋮ Annealing adaptive search, cross-entropy, and stochastic approximation in global optimization ⋮ Sequential Estimation in Stochastic Approximation Problem with Autoregressive Errors in Observations ⋮ Scalable estimation strategies based on stochastic approximations: classical results and new insights ⋮ Martingales and the Robbins-Monro procedure in \(D[0,1\)] ⋮ Stochastic approximation algorithms for superquantiles estimation ⋮ Parallel and bootstrapped stochastic approximation ⋮ Complete cubic spline estimation of non-parametric regression functions ⋮ Complete convergence of stochastic approximation algorithm in ℝdunder random noises ⋮ Lower error bounds for the stochastic gradient descent optimization algorithm: sharp convergence rates for slowly and fast decaying learning rates ⋮ Stochastic approximation type estimators in linear models ⋮ Unnamed Item ⋮ Strong representation of an adaptive stochastic approximation procedure ⋮ Online estimation of the asymptotic variance for averaged stochastic gradient algorithms ⋮ Conditional quantile sequential estimation for stochastic codes ⋮ Stochastic Algorithms for the Estimation of an Optimal Solution of a LP Problem. Convergence and Central Limit Theorem ⋮ On a stochastic approximation procedure based on averaging ⋮ Locating the minimum of a function when the errors of observation have unknown density ⋮ An invariance principle for a finite dimensional stochastic approximation method in a Hilbert space ⋮ Designs in nonlinear regression by stochastic minimization of functionals of the mean square error matrix ⋮ Asymptotic behaviour of a class of stochastic approximation procedures ⋮ Computation for latent variable model estimation: a unified stochastic proximal framework ⋮ New combinatorial direction stochastic approximation algorithms ⋮ On the almost sure convergence of adaptive allocation procedures
This page was built for publication: On Asymptotic Normality in Stochastic Approximation