Robustness analysis for stochastic approximation algorithms

DOI10.1080/17442508908833545MaRDI QIDQ4204968zbMATH OpenOpenAlexFDO

Authors Hanfu Chen, Ai-Jun Gao

Publication date 1989

Published in Stochastics and Stochastic Reports (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1080/17442508908833545

zbMATH Keywords

convergence of the Robbins-Monro stochastic approximation algorithmLyapunov functionrobustnesstruncations at randomly varying bounds

Mathematics Subject Classification ID

Stochastic approximation (62L20)

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Cited in

(15)

• Robust algorithms: a different approach to oracles
• Analysis of robust stochastic approximation algorithms for process identification
• On robustness of the Robbins-Monro method for parallel processing
• Improved results on the robustness of stochastic approximation algorithms
• Stochastic gradient algorithm with random truncations
• Experimental estimation of model error bounds based on modified stochastic approximation
• Asymptotic bias of stochastic gradient search
• Wong-Zakai approximations for stochastic differential equations
• Algorithms of robust stochastic optimization based on mirror descent method
• Joint robustness on noise and Lyapunov functions for parallel stochastic approximation algorithms
• Stochastic approximation with non-additive measurement noise
• Probabilistic search algorithms for robust stability analysis and their complexity properties
• Constrained robustness analysis by randomized algorithms
• Stochastic approximation with random truncations, state-dependent noise and discontinuous dynamics
• Continuous-time stochastic approximation: Convergence and asymptotic efficiency

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