On a stochastic approximation procedure based on averaging |
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| Authors: | Rainer Schwabe Harro Walk |
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| Affiliation: | 1. 1. Mathematisches Institut, Freie Universit?t Berlin, Arnimallee 2–6, 14 195, Berlin, Germany
2. Mathematisches Institut A, Universit?t Stuttgart, Pfaffenwaldring 57, 70 569, Stuttgart, Germany
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| Abstract: | Based on the idea of averaging a new stochastic approximation algorithm has been proposed by Bather (1989), which shows a preferable performance for small to moderate sample sizes. In the present paper an almost sure representation is established for this procedure, which gives the optimal rate of convergence with minimal asymptotic variance. Work partly supported by the research grant Ku719/2-1 of the Deutsche Forschungsgemeinschaft |
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| Keywords: | stochastic approximation averaging Robbins-Monro process |
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