全球智库信息集成服务系统(G2TT): Non-standard Limit Theorems for Stochastic Approximation Procedures and Their Applications for Urn Schemes.

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来源类型	Monograph (IIASA Working Paper)
规范类型	论文
	Non-standard Limit Theorems for Stochastic Approximation Procedures and Their Applications for Urn Schemes.
	Kaniovski YM; Pflug GC
发表日期	1992
出版者	IIASA, Laxenburg, Austria: WP-92-025
出版年	1992
语种	英语
摘要	A limit theorem for the Robbins-Monro stochastic approximation procedure is proved in the case of a non-smooth regression function. Using this result a conditional limit theorem is given for the case when the regression function has several stable roots. The first result shows that the rate of convergence for the stochastic approximation-type procedures (including Monte-Carlo optimization algorithms and adaptive processes of growth being modelled by the generalized urn scheme) decreases as the smoothness increases. The second result demonstrates that in the case of several stable roots, there is no convergence rate for the procedure as whole, but for each of stable roots there exists its specific rate of convergence. The latter allows to derive several conceptual results for applied problems in biology, physical chemistry and economics which can be described by the generalized urn scheme.
主题	Adaption and Optimization (ADO)
URL	http://pure.iiasa.ac.at/id/eprint/3673/
来源智库	International Institute for Applied Systems Analysis (Austria)
资源类型	智库出版物
条目标识符	http://119.78.100.153/handle/2XGU8XDN/124056
推荐引用方式 GB/T 7714	Kaniovski YM,Pflug GC. Non-standard Limit Theorems for Stochastic Approximation Procedures and Their Applications for Urn Schemes.. 1992.

条目包含的文件
文件名称/大小	资源类型	版本类型	开放类型	使用许可
WP-92-025.pdf（426KB）	智库出版物		限制开放	CC BY-NC-SA	浏览