Limit theorems for stochastic approximation algorithms
From MaRDI portal
Publication:6223733
arXiv1102.4741MaRDI QIDQ6223733FDOQ6223733
Authors: Henrik Renlund 
Publication date: 23 February 2011
Abstract: We prove a central limit theorem applicable to one dimensional stochastic approximation algorithms that converge to a point where the error terms of the algorithm do not vanish. We show how this applies to a certain class of these algorithms that in particular covers a generalized P'olya urn model, which is also discussed. In addition, we show how to scale these algorithms in some cases where we cannot determine the limiting distribution but expect it to be non-normal.
This page was built for publication: Limit theorems for stochastic approximation algorithms
Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q6223733)
