Summary
A new stopping rule for the Robbins-Monro process, based on an F-statistic criterion is proposed and its asymptotic behavior established. On the basis of evidence obtained through experimental sampling, the procedure seems to work well over a wide variety of situations. A two-stage procedure, coupling the new rule with an earlier one proposed by Sielken [1973] is recommended for practical use.
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Stroup, D.F., Braun, H.I. On a new stopping rule for stochastic approximation. Z. Wahrscheinlichkeitstheorie verw Gebiete 60, 535–554 (1982). https://doi.org/10.1007/BF00535715
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DOI: https://doi.org/10.1007/BF00535715