Truncated Stochastic Approximation with Moving Bounds: Convergence

Teo Sharia

doi:10.1007/s11203-014-9093-6

Truncated Stochastic Approximation with Moving Bounds: Convergence

Teo Sharia

Research output: Contribution to journal › Article › peer-review

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Abstract

In this paper we consider a wide class of truncated stochastic approximation procedures.
These procedures have three main characteristics: truncations with random moving bounds,
a matrix valued random step-size sequence, and a dynamically changing random regression function.
We establish convergence and consider several examples to illustrate the results

Original language	English
Pages (from-to)	163-179
Number of pages	17
Journal	Statistical Inference for Stochastic Processes
Volume	17
Early online date	7 Mar 2014
DOIs	https://doi.org/10.1007/s11203-014-9093-6
Publication status	Published - Jul 2014

Access to Document

10.1007/s11203-014-9093-6

TrStochApp-TeoSharia-8Accepted author manuscript, 320 KB

http://arxiv.org/abs/1101.0031

Cite this

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title = "Truncated Stochastic Approximation with Moving Bounds: Convergence",

abstract = "In this paper we consider a wide class of truncated stochastic approximation procedures.These procedures have three main characteristics: truncations with random moving bounds, a matrix valued random step-size sequence, and a dynamically changing random regression function. We establish convergence and consider several examples to illustrate the results",

author = "Teo Sharia",

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language = "English",

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AB - In this paper we consider a wide class of truncated stochastic approximation procedures.These procedures have three main characteristics: truncations with random moving bounds, a matrix valued random step-size sequence, and a dynamically changing random regression function. We establish convergence and consider several examples to illustrate the results

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DO - 10.1007/s11203-014-9093-6

M3 - Article

SN - 1387-0874

VL - 17

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EP - 179

JO - Statistical Inference for Stochastic Processes

JF - Statistical Inference for Stochastic Processes

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