On the rate of convergence of the Robbins-Monro method

Author:

Koml�s J.,R�v�sz P.

Publisher

Springer Science and Business Media LLC

Subject

Statistics, Probability and Uncertainty,Statistics and Probability,Analysis,General Mathematics,Statistics and Probability,Analysis

Reference7 articles.

1. Robbins, H., Monro, S.: A stochastic approximation method. Ann. Math. Statistics 22, 400?407 (1951).

2. Blum, J.R.: Approximation methods which converge with probability one. Ann. Math. Statistics 25, 382?386 (1954).

3. Schmetterer, L.: Stochastic approximation. Proc. Fourth Berkeley Sympos. math. Statist. Probab., Univ. Calif. Vol. I, 587?604 (1961).

4. R�v�sz, P.: A note on the Robbins-Monro method. (To appear.)

5. Chung, K.L.: On a stochastic approximation method. Ann. Math. Statistics 25, 463?483 (1954).

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