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Abdelnasser Dahmani & Ahmed Ait Saidi

CONSISTENCY OF ROBBINS MONRO’S ALGORITHM WITHIN A MIXING FRAMEWORK

(Volume 79 - Année 2010)
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Mots-clés : stochastic approximation, convergence rate, mixing

Abstract

This work is devoted to the study of the consistency, of Robbins-Monro’s algorithm under strong mixing assumption.

1AMS : 62F12, 62L20, 62J05

Om dit artikel te citeren:

Abdelnasser Dahmani & Ahmed Ait Saidi, «CONSISTENCY OF ROBBINS MONRO’S ALGORITHM WITHIN A MIXING FRAMEWORK», Bulletin de la Société Royale des Sciences de Liège [En ligne], Volume 79 - Année 2010, 131 - 140 URL : http://popups.ulg.be/0037-9565/index.php?id=2386.

Over : Abdelnasser Dahmani

Laboratory of Applied Mathematics, University of Bejaia, Algeria, a_dahmani@yahoo.fr

Over : Ahmed Ait Saidi

Laboratory of Applied Mathematics, University of Bejaia, Algeria