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Acceleration of Stochastic Approximation by Averaging
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History
Submitted: 30 July 1990
Accepted: 24 June 1991
Published online: 14 July 2006
Publication Data
ISSN (print): 0363-0129
ISSN (online): 1095-7138
CODEN: sjcodc
A new recursive algorithm of stochastic approximation type with the averaging of trajectories is investigated. Convergence with probability one is proved for a variety of classical optimization and identification problems. It is also demonstrated for these problems that the proposed algorithm achieves the highest possible rate of convergence.
Copyright © 1992 Society for Industrial and Applied Mathematics
Permalink: https://doi.org/10.1137/0330046
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