A Method for Stopping Nonconvergent Stochastic Approximation Processes

Abstract

When a stochastic approximation process satisfies the conditions for convergence there are well-established methods to terminate the iterative process in a manner that allows approximate statistics to be calculated on the final result. Many of these use the asymptotic properties of convergent stochastic approximation. However, such methods converge slowly… (More)

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@article{Hutchison2005AMF, title={A Method for Stopping Nonconvergent Stochastic Approximation Processes}, author={D W Hutchison and J. C. Spall}, journal={Proceedings of the 44th IEEE Conference on Decision and Control}, year={2005}, pages={6620-6625} }