On the rate of convergence of stochastic approximation procedures
- 27 Downloads
The rate of convergence of a linear stochastic approximation procedure inRd is studied under fairly general assumptions on the coefficients of the equation.
KeywordsApproximation Procedure General Assumption Stochastic Approximation Linear Stochastic Approximation Stochastic Approximation Procedure
These keywords were added by machine and not by the authors. This process is experimental and the keywords may be updated as the learning algorithm improves.
Unable to display preview. Download preview PDF.
- 1.A. P. Korostelev,Stochastic Recursion Procedures (Local Properties) [in Russian], Nauka, Moscow (1984).Google Scholar
- 2.H. Walk, “Limit behavior of stochastic approximation processes,”Statist, and Decis.,6, No. 1–2, 109–128 (1988).Google Scholar
- 3.L. Ljung,Convergence of Recursive Stochastic Algorithms, Report 7403, Department of Automatic Control, Lund Institute of Technology (1974).Google Scholar
- 4.H. Walk and L. Zsido, “Convergence of the Robbins-Monro method for linear problems in a Banach space,”J. Math. Anal. Appl.,139, No. 1, 152–177 (1989).Google Scholar
- 5.V. V. Voevodin and Yu. A. Kuznetsov,Matrices and Calculations [in Russian], Nauka, Moscow (1984).Google Scholar
- 6.V. A. Koval', “Comparison principles for multidimensional Gaussian Markovian sequences and Gaussianm-Markovian sequences,” in:Stochastic Systems and Applications [in Russian], Institute of Mathematics, Ukrainian Academy of Sciences, Kiev (1990), pp. 60–65.Google Scholar
- 7.V. A. Koval', “Convergence of Gaussian sequences to zero and the asymptotic behavior of solutions of stochastic recursion equations,” in:Stochastic Analysis and Applications [in Russian], Institute of Mathematics, Ukrainian Academy of Sciences, Kiev (1989), pp. 64–70.Google Scholar
- 8.V. A. Egorov, “On the law of iterated logarithm”,Teor. Ver. Primen.,14, No. 4, 722–729 (1969).Google Scholar
- 9.V. V. Buldygin and V. A. Koval',Asymptotic Behavior of Solutions of Stochastic Difference Equations [in Russian], Preprint No. 91.24, Institute of Mathematics, Ukrainian Academy of Sciences, Kiev (1991).Google Scholar
- 10.V. A. Koval',Asymptotic Behavior of Solutions of Stochastic Recursion Equations [in Russian], Author's Abstract of the Candidate Degree Thesis (Physics and Mathematics), Kiev (1991).Google Scholar
- 11.V. V. Buldygin and A. B. Kharazishvili,Brunn-Minkowski Inequality and Applications [in Russian], Naukova Dumka, Kiev (1985).Google Scholar
© Plenum Publishing Corporation 1995