Multivariate Adaptive Stochastic Approximation
Wei, C. Z.
Ann. Statist., Tome 15 (1987) no. 1, p. 1115-1130 / Harvested from Project Euclid
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Herein we study a multivariate version of the adaptive stochastic approximation developed recently by Lai and Robbins. An adaptive procedure which involves a Venter-type estimate of the Jacobian of the response function is proposed and shown to be asymptotically efficient from both the estimation and the control points of view.
Publié le : 1987-09-14
Classification:  Adaptive stochastic approximation,  Robbins-Monro process,  asymptotically efficient,  62L20 
@article{1176350496,
     author = {Wei, C. Z.},
     title = {Multivariate Adaptive Stochastic Approximation},
     journal = {Ann. Statist.},
     volume = {15},
     number = {1},
     year = {1987},
     pages = { 1115-1130},
     language = {en},
     url = {http://dml.mathdoc.fr/item/1176350496}
}

Wei, C. Z. Multivariate Adaptive Stochastic Approximation. Ann. Statist., Tome 15 (1987) no. 1, pp.  1115-1130. http://gdmltest.u-ga.fr/item/1176350496/