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Martingale Models of Stochastic Approximation and Their Convergence

โœ Scribed by Valkeila, E.; Melnikov, A. V.


Book ID
118227094
Publisher
Society for Industrial and Applied Mathematics
Year
2000
Tongue
English
Weight
266 KB
Volume
44
Category
Article
ISSN
0040-585X

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Stochastic approximation method concerns the sequential estimation of the root or the extreme of a function observed with noise. The idea is then extended to the moving root case by Dupaร‚ c, and it is called as the dynamic stochastic approximation method. Its convergence properties are derived here