Stochastic Approximation of an Implicity Defined Function
Ruppert, David
Ann. Statist., Tome 9 (1981) no. 1, p. 555-566 / Harvested from Project Euclid
Let $S$ be a set, $R$ the real line, and $M$ a real function on $R \times S$. Assume there exists a real function, $f$, on $S$ such that $(x - f(s))M(x, s) \geq 0$ for all $x$ and $s$. Initially neither $M$ nor $f$ are known. The goal is to estimate $f$. At time $n, s_n$ (a value in $S$) is observed, $x_n$ (a real number) is chosen, and an unbiased estimator of $M(x_n, s_n)$ is observed. This problem has applications, for example, to process control. In a previous paper the author proposed estimation of $f$ by a generalization of the Robbins-Monro procedure. Here that procedure is generalized and asymptotic distributions are studied.
Publié le : 1981-05-14
Classification:  Stochastic approximation,  asymptotic normality,  process control,  62L20,  62J99
@article{1176345459,
     author = {Ruppert, David},
     title = {Stochastic Approximation of an Implicity Defined Function},
     journal = {Ann. Statist.},
     volume = {9},
     number = {1},
     year = {1981},
     pages = { 555-566},
     language = {en},
     url = {http://dml.mathdoc.fr/item/1176345459}
}
Ruppert, David. Stochastic Approximation of an Implicity Defined Function. Ann. Statist., Tome 9 (1981) no. 1, pp.  555-566. http://gdmltest.u-ga.fr/item/1176345459/