Open Problem—Iterative Schemes for Stochastic Optimization: Convergence Statements and Limit Theorems
نویسندگان
چکیده
منابع مشابه
Local convergence theorems for adaptive stochastic approximation schemes.
For the regression model y = M(x) + epsilon, adaptive stochastic approximation schemes of the form x(n+1) = x(n) - y(n)/(nb(n)) for choosing the levels x(1),x(2),... at which y(1),y(2),... are observed converge with probability 1 to the unknown root theta of the regression function M(x). Certain local convergence theorems that relate the convergence rate of x(n) - theta to the limiting behavior...
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ژورنال
عنوان ژورنال: Stochastic Systems
سال: 2019
ISSN: 1946-5238,1946-5238
DOI: 10.1287/stsy.2019.0043