Abstract / Description of output
In this paper we estimate the tracking error of a fixed gain stochastic approximation scheme. The underlying process is not assumed Markovian, a mixing condition is required instead. Furthermore, the updating function may be discontinuous in the parameter.
Original language | English |
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Pages (from-to) | 217-244 |
Number of pages | 31 |
Journal | ESAIM: Probability and Statistics |
Volume | 23 |
DOIs | |
Publication status | Published - 1 May 2019 |
Keywords / Materials (for Non-textual outputs)
- math.PR
- Primary: 62L20, secondary: 93E15, 93E35
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Sotirios Sabanis
- School of Mathematics - Personal Chair of Stochastic Analysis and Algorithms
Person: Academic: Research Active