Strong representation of an adaptive stochastic approximation procedure

R. Schwabe

Stochastic Processes and their Applications, 1986, vol. 23, issue 1, 115-130

Abstract: We consider a rather general one-dimensional stochastic approximation algorithm where the steplengths might be random. Without assuming a martingale property of the random noise we obtain a strong representation by weighted averages of the error terms. We are able to apply the representation to an adaptive process in the case where the random noise is a martingale difference sequence as well as in the case where the random noise is weakly dependent and some moment conditions are statisfied.

Keywords: stochastic; approximation; adaptive; process; weakly; dependent; random; variables; strong; approximation; Robbins-Monro; process (search for similar items in EconPapers)
Date: 1986
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