Stochastic approximation: invited paper

Tze Leung Lai

doi:10.1214/aos/1051027873

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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

Abstract

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. https://doi.org/10.1214/aos/1051027873

Information

Published: April 2003

First available in Project Euclid: 22 April 2003

MathSciNet: MR1983535

Digital Object Identifier: 10.1214/aos/1051027873

Subjects:

Primary: 62L20

Secondary: 60F15, 93E23, 93E24

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