Non-asymptotic confidence bounds for stochastic approximation algorithms with constant step size

DOI10.1007/BF01301683MaRDI QIDQ753365zbMATH OpenOpenAlexWikidataFDO

Authors Georg Ch. Pflug

Publication date 1990

Published in Monatshefte für Mathematik (Search for Journal in Brave)

Full work available at URL https://eudml.org/doc/178503

zbMATH Keywords

confidence regionsstopping timecoverage probabilitycomparison resultconstant step-sizeindependent errorsinner products of subsequent gradient estimatesmultidimensional Robbins-Monro procedurenon-asymptotic confidence boundsstationary distribution of Markovian processes

Mathematics Subject Classification ID

Parametric tolerance and confidence regions (62F25) Stochastic approximation (62L20)

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Cites work

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• scientific article; zbMATH DE number 3545368 (Why is no real title available?)
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• A Newton-Raphson version of the multivariate Robbins-Monro procedure
• A Stochastic Approximation Method
• A limit theorem for the Robbins-Monro approximation
• A measure of the tracking capability of recursive stochastic algorithms with constant gains
• Asymptotic Properties of Stochastic Approximations with Constant Coefficients
• Bounded Length Confidence Intervals for the Zero of a Regression Function
• COMPARISON OF SOME NON-LINEAR AUTOREGRESSIVE PROCESSES
• On a new stopping rule for stochastic approximation
• Some Multivariate Chebyshev Inequalities with Extensions to Continuous Parameter Processes
• Stochastic Minimization with Constant Step-Size: Asymptotic Laws
• Stochastic approximation methods for constrained and unconstrained systems

Cited in

(13)

• Designs in nonlinear regression by stochastic minimization of functionals of the mean square error matrix
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• Contemporaneous statistics for estimation in stochastic actor-oriented co-evolution models
• A stopping rule for stochastic approximation
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• Asymptotic confidence regions of stochastic approximation procedures in Hilbert spaces
• Confidence region for distributed stochastic optimization problem via stochastic gradient tracking method
• Consistency of stochastic approximation algorithm with quasi-associated random errors
• Confidence intervals from stochastic approximation
• A stopped stochastic approximation algorithm
• scientific article; zbMATH DE number 53013 (Why is no real title available?)
• Some results about averaging in stochastic approximation
• Non-asymptotic error bounds for constant stepsize stochastic approximation for tracking mobile agents

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