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September, 1951 A Stochastic Approximation Method
Herbert Robbins, Sutton Monro
Ann. Math. Statist. 22(3): 400-407 (September, 1951). DOI: 10.1214/aoms/1177729586


Let $M(x)$ denote the expected value at level $x$ of the response to a certain experiment. $M(x)$ is assumed to be a monotone function of $x$ but is unknown to the experimenter, and it is desired to find the solution $x = \theta$ of the equation $M(x) = \alpha$, where $\alpha$ is a given constant. We give a method for making successive experiments at levels $x_1,x_2,\cdots$ in such a way that $x_n$ will tend to $\theta$ in probability.


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Herbert Robbins. Sutton Monro. "A Stochastic Approximation Method." Ann. Math. Statist. 22 (3) 400 - 407, September, 1951.


Published: September, 1951
First available in Project Euclid: 28 April 2007

zbMATH: 0054.05901
MathSciNet: MR42668
Digital Object Identifier: 10.1214/aoms/1177729586

Rights: Copyright © 1951 Institute of Mathematical Statistics

Vol.22 • No. 3 • September, 1951
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