A Strong Approximation Theorem for Stochastic Recursive Algorithms

V. S. Borkar and S. K. Mitter
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V. S. Borkar: Indian Institute of Science
S. K. Mitter: Massachusetts Institute of Technology

Journal of Optimization Theory and Applications, 1999, vol. 100, issue 3, No 5, 499-513

Abstract: Abstract The constant stepsize analog of Gelfand–Mitter type discrete-time stochastic recursive algorithms is shown to track an associated stochastic differential equation in the strong sense, i.e., with respect to an appropriate divergence measure.

Keywords: Stochastic algorithms; approximation of stochastic differential equations; constant stepsize algorithms; asymptotic behavior (search for similar items in EconPapers)
Date: 1999
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DOI: 10.1023/A:1022630321574

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