Convergence of the Kiefer–Wolfowitz algorithm in the presence of discontinuities

DOI10.1017/apr.2022.25zbMath1514.91204arXiv2007.14069OpenAlexW3045593401MaRDI QIDQ6159389

Kinga Tikosi, Miklós Rásonyi

Publication date: 5 May 2023

Published in: Advances in Applied Probability (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/2007.14069

zbMATH Keywords

stochastic approximationdependent datathreshold strategies

Mathematics Subject Classification ID

Numerical methods (including Monte Carlo methods) (91G60) Finite difference methods for initial value and initial-boundary value problems involving PDEs (65M06) Probabilistic methods, stochastic differential equations (65C99)

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