Multivariate Adaptive Stochastic Approximation

C. Z. Wei

doi:10.1214/aos/1176350496

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Home > Journals > Ann. Statist. > Volume 15 > Issue 3 > Article

September, 1987 Multivariate Adaptive Stochastic Approximation

C. Z. Wei

Ann. Statist. 15(3): 1115-1130 (September, 1987). DOI: 10.1214/aos/1176350496

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Abstract

Herein we study a multivariate version of the adaptive stochastic approximation developed recently by Lai and Robbins. An adaptive procedure which involves a Venter-type estimate of the Jacobian of the response function is proposed and shown to be asymptotically efficient from both the estimation and the control points of view.

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C. Z. Wei. "Multivariate Adaptive Stochastic Approximation." Ann. Statist. 15 (3) 1115 - 1130, September, 1987. https://doi.org/10.1214/aos/1176350496