Abstract:
Using the theory of semimartingal an extention of the well known results oils Robbins–Monro's stochastic approximation method is given. The obtained results. are applied to the least-squares method.
Citation:
E. G. Gladyshev, “On the stochastic approximation”, Teor. Veroyatnost. i Primenen., 10:2 (1965), 297–300; Theory Probab. Appl., 10:2 (1965), 275–278
\Bibitem{Gla65}
\by E.~G.~Gladyshev
\paper On the stochastic approximation
\jour Teor. Veroyatnost. i Primenen.
\yr 1965
\vol 10
\issue 2
\pages 297--300
\mathnet{http://mi.mathnet.ru/tvp523}
\mathscinet{http://mathscinet.ams.org/mathscinet-getitem?mr=185722}
\zmath{https://zbmath.org/?q=an:0147.18002}
\transl
\jour Theory Probab. Appl.
\yr 1965
\vol 10
\issue 2
\pages 275--278
\crossref{https://doi.org/10.1137/1110031}
Linking options:
https://www.mathnet.ru/eng/tvp523
https://www.mathnet.ru/eng/tvp/v10/i2/p297
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