On the choice of step size in the Robbins-Monro procedure

The Robbins-Monro procedure is investigated for various choices of step sizes, including those of the form c / nlog n, c> 0. Rates of convergence using this and other choices are compared to rates obtained using cn[beta], for . Of all choices considered, it is seen that a procedure of Fabian's (1968) yields the best rate of convergence.

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Year of publication:	1988
Authors:	Goldstein, Larry
Published in:	Statistics & Probability Letters. - Elsevier, ISSN 0167-7152. - Vol. 6.1988, 5, p. 299-303
Publisher:	Elsevier
Keywords:	stochastic approximation Robbins-Monro procedure step size

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Type of publication:	Article
Source:	RePEc - Research Papers in Economics

Persistent link: https://www.econbiz.de/10005224114