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

DOI10.1016/j.spl.2008.02.034zbMath1147.62072arXiv0706.0841OpenAlexW2034695400MaRDI QIDQ952845

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)

Related Items (12)

Relative entropy minimization over Hilbert spaces via Robbins-Monro ⋮ A framework for adaptive Monte Carlo procedures ⋮ Coupling importance sampling and multilevel Monte Carlo using sample average approximation ⋮ Asymptotic behavior of truncated stochastic approximation procedures ⋮ Importance sampling and statistical Romberg method ⋮ 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 ⋮ Rate of convergence of truncated stochastic approximation procedures with moving bounds ⋮ Robust adaptive importance sampling for normal random vectors ⋮ Liquidity Costs: A New Numerical Methodology and an Empirical Study ⋮ Convergence of the Wang-Landau algorithm

Cites Work

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• Convergence and robustness of the Robbins-Monro algorithm truncated at randomly varying bounds
• Stochastic approximation methods for constrained and unconstrained systems
• Convergence of a stochastic approximation version of the EM algorithm
• Stochastic approximation and its applications
• General results on the convergence of stochastic algorithms
• A Stochastic Approximation Method

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