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Markovian stochastic approximation with expanding projections

Abstract:

Stochastic approximation is a framework unifying many random iterative algorithms occurring in a diverse range of applications. The stability of the process is often difficult to verify in practical applications and the process may even be unstable without additional stabilisation techniques. We study a stochastic approximation procedure with expanding projections similar to Andradóttir [Oper. Res. 43 (1995) 1037-1048]. We focus on Markovian noise and show the stability and convergence under ...

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Publisher copy:
10.3150/12-BEJ497

Authors


Andrieu, C More by this author
Publisher:
International Statistical Institute
Journal:
Bernoulli
Volume:
20
Issue:
2
Pages:
545-585
Publication date:
2014
DOI:
ISSN:
1350-7265
URN:
uuid:124f47c7-94ac-4d6f-9435-abc6db1628ba
Source identifiers:
487889
Local pid:
pubs:487889

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