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

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

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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• scientific article; zbMATH DE number 3992716 (Why is no real title available?)
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• Stochastic approximation methods for constrained and unconstrained systems

Cited in

(17)

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

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