Rates of Convergence of Adaptive Step-Size of Stochastic Approximation Algorithms
Document Type
Article
Publication Date
4-15-2000
Publication Title
Journal of Mathematical Analysis and Applications
Abstract
We propose a new adaptive algorithm with decreasing step-size for stochastic approximations. The use of adaptive algorithms in various applications is widely spread across fields such as system identification and adaptive control. We analyze the rate of convergence of the proposed algorithms. An averaging algorithm, on its optimality of the rate of convergence, is used to control the step sizes. Our proofs are based on recent results in stochastic approximations and Gaussian Approximation Theorem.
Repository Citation
S. Shao, Percy P.C. Yip. (2000) Rates of Convergence of Adaptive Step-Size of Stochastic Approximation Algorithms. Journal of Mathematical Analysis and Applications, 244(2), 333-347, doi: dx.doi.org/10.1006/jmaa.2000.6703.
Original Citation
S. Shao, Percy P.C. Yip. (2000) Rates of Convergence of Adaptive Step-Size of Stochastic Approximation Algorithms. Journal of Mathematical Analysis and Applications, 244(2), 333-347, doi: dx.doi.org/10.1006/jmaa.2000.6703.
DOI
dx.doi.org/10.1006/jmaa.2000.6703
Volume
244
Issue
2
