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April 2003 Stochastic approximation: invited paper
Tze Leung Lai
Ann. Statist. 31(2): 391-406 (April 2003). DOI: 10.1214/aos/1051027873


Stochastic approximation, introduced by Robbins and Monro in 1951, has become an important and vibrant subject in optimization, control and signal processing. This paper reviews Robbins' contributions to stochastic approximation and gives an overview of several related developments.


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Tze Leung Lai. "Stochastic approximation: invited paper." Ann. Statist. 31 (2) 391 - 406, April 2003.


Published: April 2003
First available in Project Euclid: 22 April 2003

MathSciNet: MR1983535
Digital Object Identifier: 10.1214/aos/1051027873

Primary: 62L20
Secondary: 60F15 , 93E23 , 93E24

Keywords: adaptive control , Adaptive stochastic approximation , recursive stochastic algorithms , Robbins-Monro and Kiefer-Wolfowitz schemes , stochastic Liapounov functions

Rights: Copyright © 2003 Institute of Mathematical Statistics

Vol.31 • No. 2 • April 2003
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