Stochastic approximation and the final value theorem

DOI10.1016/0304-4149(82)90031-XMaRDI QIDQ1836247zbMATH OpenOpenAlexWikidataFDO

Authors V. Solo

Publication date 1982

Published in Stochastic Processes and their Applications (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1016/0304-4149(82)90031-x

zbMATH Keywords

final value theoreminvariance principlesKiefer-Wolfowitz procedureslaw of iterated logarithmRobbins- Monro-proceduresstochastic differential equation

Mathematics Subject Classification ID

Central limit and other weak theorems (60F05) Functional limit theorems; invariance principles (60F17) Stochastic approximation (62L20)

Cites work

• A limit theorem for the Robbins-Monro approximation
• Almost sure approximation of the Robbins-Monro process by sums of independent random variables
• An Extension of the Robbins-Monro Procedure
• An invariance principle for the Robbins-Monro process in a Hilbert space
• Asymptotic Distribution of Stochastic Approximation Procedures
• Central limit theorems for martingales and for processes with stationary increments using a Skorokhod representation approach
• Dependent central limit theorems and invariance principles
• Functional and random central limit theorems for the Robbins-Munro process
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• Invariance principles for the law of the iterated logarithm for martingales and processes with stationary increments
• On martingale limit theory and strong convergence results for stochastic approximation procedures
• Rates of Convergence for Sequential Monte Carlo Optimization Methods
• Time series recursions and stochastic approximation

Cited in

(4)

• Stochastic approximation with dependent noise
• Convergence of a class of stochastic approximation procedures
• Estimating the Mahalonobis distance
• Exact bounds for the rate of convergence in general stochastic approximation procedures

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