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Stochastic approximation Stochastic gradient 1
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Monnez, Jean-Marie 1
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Statistics & Probability Letters 1
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Almost sure convergence of stochastic gradient processes with matrix step sizes
Monnez, Jean-Marie - In: Statistics & Probability Letters 76 (2006) 5, pp. 531-536
We consider a stochastic gradient process, which is a special case of stochastic approximation process, where the positive real step size an is replaced by a random matrix An: Xn+1=Xn-An[backward difference]g(Xn)-AnVn. We give two theorems of almost sure convergence in the case where the...
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