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

DOI10.1016/J.SPL.2008.02.034zbMATH Open1147.62072arXiv0706.0841OpenAlexW2034695400MaRDI QIDQ952845FDOQ952845

Authors: Jérôme Lelong 

Publication date: 14 November 2008

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

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

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

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Mathematics Subject Classification ID

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

Cites Work

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• Convergence and robustness of the Robbins-Monro algorithm truncated at randomly varying bounds
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• Robust adaptive importance sampling for normal random vectors
• Truncated stochastic approximation with moving bounds: convergence
• 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
• Liquidity Costs: A New Numerical Methodology and an Empirical Study
• 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
• 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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