An invariance principle for a finite dimensional stochastic approximation method in a Hilbert space

DOI10.1016/0047-259X(84)90030-7zbMath0548.60033MaRDI QIDQ799302

Rainer Nixdorf

Publication date: 1984

Published in: Journal of Multivariate Analysis (Search for Journal in Brave)

zbMATH Keywords

invariance principleRobbins-Monro stochastic approximation

Mathematics Subject Classification ID

Estimation in multivariate analysis (62H12) Stochastic approximation (62L20) Functional limit theorems; invariance principles (60F17)

Related Items

Minimizing noisy functionals in Hilbert space: An extension of the Kiefer-Wolfowitz procedure, Asymptotic confidence regions of stochastic approximation procedures in Hilbert spaces, Recursive estimation: asymptotic confidence regions by empirical quantiles, On h–valued stochastic approximation: finite dimenstional projections, Uncertainty Quantification for Stochastic Approximation Limits Using Chaos Expansion, Finite dimensional approximation and Newton-based algorithm for stochastic approximation in Hilbert space, Stochastic proximal gradient methods for nonconvex problems in Hilbert spaces, Projected Stochastic Gradients for Convex Constrained Problems in Hilbert Spaces, Asymptotic behaviour of a class of stochastic approximation procedures

Cites Work

• On Fredholm integral equations, Toeplitz equations and Kalman-Bucy filtering
• An invariance principle for the Robbins-Monro process in a Hilbert space
• On Asymptotic Normality in Stochastic Approximation
• A Stochastic Approximation Method
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