Almost sure convergence of stochastic gradient processes with matrix step sizes

Statistics and Probability Letters

Volumn 76, Issue 5, 2006, Pages 531-536

  Monnez, Jean Marie ^a  

^a UNIVERSITÉ DE LORRAINE   (France)

Author keywords

Stochastic approximation; Stochastic gradient

Indexed keywords

EID: 32544453236     PISSN: 01677152     EISSN: None     Source Type: Journal    
DOI: 10.1016/j.spl.2005.09.014     Document Type: Article

References (6)

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4. Nevel'son, M.B., Has'minskii, R.Z., 1973. Stochastic Approximation and Recursive Estimation. Translations of Mathematics Monographs, vol. 47, AMS, Providence, Rhode Island.
5. Robbins, H., Siegmund, D., 1971. A convergence theorem for nonnegative almost supermartingales and some applications. In: Rustagi, J.S. (Ed.), Optimizing Methods in Statistics, Academic Press, New York, pp. 233-257.
6. J.C. Spall Introduction to Stochastic Search and Optimization 2003 Wiley Hoboken, New Jersey