On the choice of step size in the Robbins-Monro procedure

Larry Goldstein

Statistics & Probability Letters, 1988, vol. 6, issue 5, 299-303

Abstract: The Robbins-Monro procedure is investigated for various choices of step sizes, including those of the form c / nlog n, c> 0. Rates of convergence using this and other choices are compared to rates obtained using cn[beta], for . Of all choices considered, it is seen that a procedure of Fabian's (1968) yields the best rate of convergence.

Keywords: stochastic; approximation; Robbins-Monro; procedure; step; size (search for similar items in EconPapers)
Date: 1988
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