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Teoriya Veroyatnostei i ee Primeneniya, 1972, Volume 17, Issue 2, Pages 310–319 (Mi tvp2535)  
On centain properties of continuous stochastic approximation procedures

M. B. Nevel'son

Moscow
Full-text PDF (573 kB)
Abstract: It is shown that the continuous Kiefer–Wolfowitz procedure for estimating the maximum of a regression surface converges, under some conditions, almost surely to the maximum.
An analoguos result is proved for the continuous Robbins–Monro procedure of stochastic approximation.
Received: 27.05.1970
English version:
Theory of Probability and its Applications, 1973, Volume 17, Issue 2, Pages 298–308
DOI: https://doi.org/10.1137/1117033
Bibliographic databases:
Language: Russian
Citation: M. B. Nevel'son, “On centain properties of continuous stochastic approximation procedures”, Teor. Veroyatnost. i Primenen., 17:2 (1972), 310–319; Theory Probab. Appl., 17:2 (1973), 298–308
Citation in format AMSBIB
\Bibitem{Nev72}
\by M.~B.~Nevel'son
\paper On centain properties of continuous stochastic approximation procedures
\jour Teor. Veroyatnost. i Primenen.
\yr 1972
\vol 17
\issue 2
\pages 310--319
\mathnet{http://mi.mathnet.ru/tvp2535}
\mathscinet{http://mathscinet.ams.org/mathscinet-getitem?mr=297066}
\zmath{https://zbmath.org/?q=an:0254.62049}
\transl
\jour Theory Probab. Appl.
\yr 1973
\vol 17
\issue 2
\pages 298--308
\crossref{https://doi.org/10.1137/1117033}
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