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Central Limit Theorems for Stochastic Optimization Algorithms Using Infinitesimal Perturbation Analysis

โœ Scribed by Qian-Yu Tang; Han-Fu Chen


Book ID
110262587
Publisher
Springer
Year
2000
Tongue
English
Weight
153 KB
Volume
10
Category
Article
ISSN
0924-6703

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โœ Mariane Pelletier ๐Ÿ“‚ Article ๐Ÿ“… 1999 ๐Ÿ› Elsevier Science ๐ŸŒ English โš– 154 KB

We prove an almost sure central limit theorem for some multidimensional stochastic algorithms used for the search of zeros of a function and known to satisfy a central limit theorem. The almost sure version of the central limit theorem requires either a logarithmic empirical mean (in the same way as