A Strong Approximation Theorem for Stochastic Recursive Algorithm

Borkar, VS and Mitter, SK (1999) A Strong Approximation Theorem for Stochastic Recursive Algorithm. In: Journal of Optimization Theory And Applications, 100 (3). pp. 499-513.

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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.

Item Type:	Journal Article
Publication:	Journal of Optimization Theory And Applications
Publisher:	Springer
Additional Information:	Copyright of this article belongs to Springer.
Keywords:	Stochastic algorithms;Approximation of stochastic differential equations;Constant stepsize algorithms;Asymptotic behavior.
Department/Centre:	Division of Electrical Sciences > Computer Science & Automation
Date Deposited:	07 Jan 2010 09:09
Last Modified:	19 Sep 2010 04:59
URI:	http://eprints.iisc.ac.in/id/eprint/18011

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