Almost sure convergence of randomly truncated stochastic algorithms under verifiable condi\-tions

DOI10.1016/J.SPL.2008.02.034MaRDI QIDQ952845zbMATH OpenOpenAlexFDO

Authors Jérôme Lelong

Publication date 14 November 2008

Published in Statistics \& Probability Letters (Search for Journal in Brave)

Full work available at URL https://arxiv.org/abs/0706.0841

Mathematics Subject Classification ID

Stochastic approximation (62L20) Strong limit theorems (60F15)

Abstract: We study the almost sure convergence of randomly truncated stochastic algorithms. We present a new convergence theorem which extends the already known results by making vanish the classical condition on the noise terms. The aim of this work is to prove an almost sure convergence result of randomly truncated stochastic algorithms under easily verifiable conditions

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Cites work

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Cited in

(17)

• Liquidity costs: a new numerical methodology and an empirical study
• Robust adaptive importance sampling for normal random vectors
• Truncated stochastic approximation with moving bounds: convergence
• Some convergence theorems for RM algorithm
• Importance sampling and statistical Romberg method
• Relative entropy minimization over Hilbert spaces via Robbins-Monro
• Almost sure convergence of stochastic approximation algorithms with non-additive noise
• Convergence of the Wang-Landau algorithm
• Coupling importance sampling and multilevel Monte Carlo using sample average approximation
• Asymptotic behavior of truncated stochastic approximation procedures
• Almost sure convergence of a class of stochastic algorithms
• Some multivariate risk indicators: minimization by using a Kiefer-Wolfowitz approach to the mirror stochastic algorithm
• A framework for adaptive Monte Carlo procedures
• Asymptotic normality of randomly truncated stochastic algorithms
• Stochastic approximation with random truncations, state-dependent noise and discontinuous dynamics
• A Robbins-Monro procedure for estimation in semiparametric regression models
• Rate of convergence of truncated stochastic approximation procedures with moving bounds

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