Acceleration of stochastic approximation by averaging

@article{Polyak1992AccelerationOS,
  title={Acceleration of stochastic approximation by averaging},
  author={Boris Polyak and Anatoli B. Juditsky},
  journal={Siam Journal on Control and Optimization},
  year={1992},
  volume={30},
  pages={838-855}
}
A new recursive algorithm of stochastic approximation type with the averaging of trajectories is investigated. Convergence with probability one is proved for a variety of classical optimization and identification problems. It is also demonstrated for these problems that the proposed algorithm achieves the highest possible rate of convergence. 

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