On Stochastic Approximation
- Author(s):
- Wolff, Hans
- Publication Year:
- 1970
- Report Number:
- RB-70-55
- Source:
- ETS Research Bulletin
- Document Type:
- Report
- Page Count:
- 13
- Subject/Key Words:
- Mathematics, Probability, Robbins-Munro Procedure, Statistical Analysis, Stochastic Approximation
Abstract
This paper deals with a stochastic process for the approximation of the root of a regression equation. This process was first suggested by Robbins and Monro. The main result here is a necessary and sufficient condition on the iteration coefficients for convergence of the process (convergence with probability one and convergence in the quadratic mean). (Author)
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- http://dx.doi.org/10.1002/j.2333-8504.1970.tb00784.x