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

DOI10.1016/0047-259X(84)90030-7zbMATH Open0548.60033MaRDI QIDQ799302FDOQ799302

Authors: Rainer Nixdorf 

Publication date: 1984

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

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• Asymptotic Properties of Some Projection-based Robbins-Monro Procedures in a Hilbert Space

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)

Cites Work

• An invariance principle for the Robbins-Monro process in a Hilbert space
• A Stochastic Approximation Method
• On Asymptotic Normality in Stochastic Approximation
• On Fredholm integral equations, Toeplitz equations and Kalman-Bucy filtering
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Cited In (13)

• Finite dimensional approximation and Newton-based algorithm for stochastic approximation in Hilbert space
• Asymptotic behaviour of a class of stochastic approximation procedures
• Minimizing noisy functionals in Hilbert space: An extension of the Kiefer-Wolfowitz procedure
• Uncertainty Quantification for Stochastic Approximation Limits Using Chaos Expansion
• Asymptotic confidence regions of stochastic approximation procedures in Hilbert spaces
• Recursive estimation: asymptotic confidence regions by empirical quantiles
• Projected Stochastic Gradients for Convex Constrained Problems in Hilbert Spaces
• Title not available (Why is that?)
• On h–valued stochastic approximation: finite dimenstional projections
• Stochastic proximal gradient methods for nonconvex problems in Hilbert spaces
• General theorems for numerical approximation of stochastic processes on the Hilbert space \(H_2([0,T], \mu,\mathbb{R}^d)\)
• Asymptotic Properties of Some Projection-based Robbins-Monro Procedures in a Hilbert Space
• Stochastic approximation in Hilbert space and the problem of detecting an object in a sequence of noisy images

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