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Teoriya Veroyatnostei i ee Primeneniya, 1967, Volume 12, Issue 2, Pages 386–390 (Mi tvp718)  

This article is cited in 1 scientific paper (total in 1 paper)

Short Communications

On the Robbins–Monro Procedure in the Case of Several Roots

T. P. Krasulina

Leningrad
Full-text PDF (279 kB) Citations (1)
Abstract: Let $Y(x)$ be a family of random variables with distribution functions $H(y\mid x)$ and regression function $M(x)$. In this paper the Robbins–Monro procedure is considered
$$ X_{n+1}=X_n+a\operatorname{sgn}(\alpha-Y(X_n)) $$
where $X_1$ is an arbitrary number and $a$ is some positive number.
It is assumed that the equation $M(x)=\alpha$ has several roots. Suppose that
\begin{gather*} \mathbf P(Y(X_n)>\alpha\mid X_n,M(Xn)>\alpha)\ge\frac12+\min(\zeta,\zeta|\alpha-M(X_n)|), \\ \mathbf P(Y(X_n)<\alpha\mid X_n,M(Xn)<\alpha)\ge\frac12+\min(\zeta,\zeta|\alpha-M(X_n)|) \end{gather*}
Let the following conditions be satisfied
\begin{gather*} |M(x)-\alpha|>K\rho(X,\Theta_1)^s,\quad\rho(X,\Theta_1)\le\tau, \\ |M(x)-\alpha|>M\quad\rho(X,\Theta_1)>\tau. \end{gather*}
Then for any $\varepsilon>0$
$$ \limsup_{n\to\infty}\mathbf P(\rho(X_n,\theta)>\varepsilon)\le\eta(a),\quad\eta(a)\to0,\quad a\to0, $$
where $\rho(X_n,\Theta)=\inf\limits_{\theta_i\in\Theta}|X_n-\theta_i|$ and $\Theta$ is the set of roots of the the regression function in which it decreases.
Received: 18.10.1965
English version:
Theory of Probability and its Applications, 1967, Volume 12, Issue 2, Pages 333–337
DOI: https://doi.org/10.1137/1112041
Bibliographic databases:
Document Type: Article
Language: Russian
Citation: T. P. Krasulina, “On the Robbins–Monro Procedure in the Case of Several Roots”, Teor. Veroyatnost. i Primenen., 12:2 (1967), 386–390; Theory Probab. Appl., 12:2 (1967), 333–337
Citation in format AMSBIB
\Bibitem{Kra67}
\by T.~P.~Krasulina
\paper On the Robbins--Monro Procedure in the Case of Several Roots
\jour Teor. Veroyatnost. i Primenen.
\yr 1967
\vol 12
\issue 2
\pages 386--390
\mathnet{http://mi.mathnet.ru/tvp718}
\mathscinet{http://mathscinet.ams.org/mathscinet-getitem?mr=214234}
\zmath{https://zbmath.org/?q=an:0158.17102}
\transl
\jour Theory Probab. Appl.
\yr 1967
\vol 12
\issue 2
\pages 333--337
\crossref{https://doi.org/10.1137/1112041}
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  • This publication is cited in the following 1 articles:
    Citing articles in Google Scholar: Russian citations, English citations
    Related articles in Google Scholar: Russian articles, English articles
    Теория вероятностей и ее применения Theory of Probability and its Applications
     
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