Stochastic approximation: Difference between revisions

Revision as of 23:49, 6 June 2011

Revision as of 23:51, 6 June 2011

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===Convergence Results===

#If If <math>f(\cdot)</math> is twice continuously differentiable, and strongly convex, and the minimizer of <math>f(\cdot)</math> belongs to the interior of <math>\Theta</math>, then back to the works of Robbins-Monro <ref name="rm">, and J. Sacks <ref name="jsacks">Asymptotic distribution of Stochastic Approximation, J. Sacks, ''Annals of Mathematical Statistics'' '''29''', (1958), pp. 373–409.</ref>

==Kiefer-Wolfowitz algorithm==