Search Results - subject:"Stochastic Approximation"

Truncated stochastic approximation with moving bounds: convergence

Sharia, Teo - In: Statistical Inference for Stochastic Processes 17 (2014) 2, pp. 163-179

In this paper we consider a wide class of truncated stochastic approximation procedures. These procedures have three …

Persistent link: https://www.econbiz.de/10010793919

Use of SAMC for Bayesian analysis of statistical models with intractable normalizing constants

Jin, Ick Hoon; Liang, Faming - In: Computational Statistics & Data Analysis 71 (2014) C, pp. 402-416

achieved using the stochastic approximation Monte Carlo algorithm. A strong law of large numbers is established for the … Bayesian stochastic approximation Monte Carlo estimator under mild conditions. Compared to the Monte Carlo maximum likelihood … method, the Bayesian stochastic approximation Monte Carlo algorithm is more robust to the initial guess of model parameters …

Persistent link: https://www.econbiz.de/10010871467

A smoothing stochastic algorithm for quantile estimation

Amiri, Aboubacar; Thiam, Baba - In: Statistics & Probability Letters 93 (2014) C, pp. 116-125

In this paper, we provide the almost-sure convergence and the asymptotic normality of a smooth version of the Robbins–Monro algorithm for the quantile estimation. A Monte Carlo simulation study shows that our proposed method works well within the framework of a data stream.

Persistent link: https://www.econbiz.de/10010906229

Convergence in models with bounded expected relative hazard rates

Oyarzun, Carlos; Ruf, Johannes - In: Journal of Economic Theory 154 (2014) C, pp. 229-244

We provide a general framework to study stochastic sequences related to individual learning in economics, learning automata in computer sciences, social learning in marketing, and other applications. More precisely, we study the asymptotic properties of a class of stochastic sequences that take...

Persistent link: https://www.econbiz.de/10011076665

A simulation-based algorithm for optimal pricing policy under demand uncertainty

Chakravarty, Saswata; Padakandla, Sindhu; Bhatnagar, Shalabh - In: International transactions in operational research : … 21 (2014) 5, pp. 737-760

Persistent link: https://www.econbiz.de/10010413609

An adaptive learning model with foregone payoff information

Funai, Naoki - In: The B.E. journal of theoretical economics 14 (2014) 1, pp. 149-176

Persistent link: https://www.econbiz.de/10010417554

Stochastic fictitious play with continuous action sets

Perkins, Steven; Leslie, David S. - In: Journal of economic theory 152 (2014), pp. 179-213

Persistent link: https://www.econbiz.de/10010389441

Convergence in models with bounded expected relative hazard rates

Oyarzun, Carlos; Ruf, Johannes - In: Journal of economic theory 154 (2014), pp. 229-244

Persistent link: https://www.econbiz.de/10010481363

Market clearing and price formation

Flåm, Sjur Didrik; Godal, Odd - Institutt for Økonomi, Universitetet i Bergen - 2007

Considered here is decentralized exchange of privately owned commodity bundles. Voluntary transactions take the form of repeated bilateral barters. Under broad and reasonable hypotheses the resulting process converges to comepetitive equilibrium. Price-taking behavior is not assumed. Prices...

Persistent link: https://www.econbiz.de/10008876365

A general framework for statistical inference on discrete event systems.

Nicolai, R.P.; Koning, A.J. - Erasmus University Rotterdam, Econometric Institute - 2006

marked point processes, likelihood methods, kernel density estimation and stochastic approximation to enable statistical …, density estimation and stochastic approximation. The remainder of this paper is as follows. In Section 2 we introduce our … account in the choice of the observation scheme. Stochastic approximation By evaluating the density estimator ˆf(x) for x = X …

Persistent link: https://www.econbiz.de/10005450910