Equivalent necessary and sufficient conditions on noise sequences for stochastic approximation algorithms

被引:24
|
作者
Wang, IJ [1 ]
Chong, EKP [1 ]
Kulkarni, SR [1 ]
机构
[1] PRINCETON UNIV,DEPT ELECT ENGN,PRINCETON,NJ 08544
关键词
stochastic approximation; convergence equivalent necessary and sufficient conditions; noise sequences;
D O I
10.2307/1428181
中图分类号
O21 [概率论与数理统计]; C8 [统计学];
学科分类号
020208 ; 070103 ; 0714 ;
摘要
We consider stochastic approximation algorithms on a general Hilbert space, and study four conditions on noise sequences for their analysis: Kushner and Clark's condition, Chen's condition, a decomposition condition, and Kulkarni and Horn's condition. We discuss various properties of these conditions. In our main result we show that the four conditions are all equivalent, and are both necessary and sufficient for convergence of stochastic approximation algorithms under appropriate assumptions.
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页码:784 / 801
页数:18
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