Sequences with low discrepancy generalisation and application to bobbins-monbo algorithm

DOI10.1080/02331889008802246MaRDI QIDQ3484222zbMATH OpenOpenAlexFDO

Authors Bernard Lapeyre, Gilles Pagès, K. Sab

Publication date 1990

Published in Statistics (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1080/02331889008802246

zbMATH Keywords

adaptive algorithmsaveragingconvergence theoremempirical distribution functionsergodic iterative mappingestimation of the rate of convergencefast convergence of non-random, ergodic sequencesRobbins-Monro algorithmsequences with low discrepancystochastic algorithmsstrong averaging systemsuniform rate of convergence

Mathematics Subject Classification ID

General theory of distribution modulo (1) (11K06) Pseudo-random numbers; Monte Carlo methods (11K45) Strong limit theorems (60F15) Stochastic approximation (62L20)

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Cites work

• A Stochastic Approximation Method
• Beiträge zur Diskrepanz bezüglich gewichteter Mittel. (Contributions to the discrepancy with respect to weighted means)
• Stochastic Estimation of the Maximum of a Regression Function

Cited in

(10)

• Concerning an adaptive algorithm for detecting disharmonies in random sequences
• A space quantization method for numerical integration
• Revisiting the ODE method for recursive algorithms: fast convergence using quasi stochastic approximation
• A relation between sequences generated by Golomb's preference algorithm
• Optimal Delaunay and Voronoi quantization schemes for pricing American style options
• Asymptotically optimal quantization schemes for Gaussian processes on Hilbert spaces
• scientific article; zbMATH DE number 5006055 (Why is no real title available?)
• Computing VaR and CVaR using stochastic approximation and adaptive unconstrained importance sampling
• Sequences with low discrepancy and pseudo-random numbers:theoretical results and numerical tests
• A Robbins–Monro-based Sequential Procedure

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