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Teoriya Veroyatnostei i ee Primeneniya, 1977, Volume 22, Issue 3, Pages 595–602
(Mi tvp3261)
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This article is cited in 1 scientific paper (total in 1 paper)
Short Communications
A criterion for convergence of continuous stochastic approximation procedures
A. P. Korostelev Moscow
Abstract:
For the a.s. convergence of the stochastic approximation procedure
$$
dX_s=\alpha(s)[\triangledown f(X_s)+\varphi(s,X_s)]\,ds+\beta(s)\sigma(s,X_s)\,dW_s
$$
to a maximum point of $f$, the following condition is proved to be necessary and sufficient: for any $\lambda>0$
$$
\int_0^{\infty}\exp(-\lambda\gamma^{-2}(t))\,dt<\infty
$$
where $dt=\alpha(s)\,ds$; $\gamma(t)=\beta(t)/\sqrt{\alpha(t)}$.
Received: 16.12.1975
Citation:
A. P. Korostelev, “A criterion for convergence of continuous stochastic approximation procedures”, Teor. Veroyatnost. i Primenen., 22:3 (1977), 595–602; Theory Probab. Appl., 22:3 (1978), 584–591
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https://www.mathnet.ru/eng/tvp3261 https://www.mathnet.ru/eng/tvp/v22/i3/p595
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Abstract page: | 171 | Full-text PDF : | 73 |
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