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Teoriya Veroyatnostei i ee Primeneniya, 1967, Volume 12, Issue 2, Pages 386–390
(Mi tvp718)
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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
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
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
Linking options:
https://www.mathnet.ru/eng/tvp718 https://www.mathnet.ru/eng/tvp/v12/i2/p386
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