Stochastic approximation

• 成果类型: Editorial Material
• 署名作者: Lai, TL
• 署名单位: Stanford University
• 刊物名称: ANNALS OF STATISTICS
• ISSN/ISSBN: 0090-5364
• DOI: 10.1214/aos/1051027873
• 发表日期: 2003
• 页码: 391-406
• 关键词: perturbation gradient approximation; adaptive-control; least-squares; algorithms; optimization; systems; models; CONVERGENCE

摘要

Stochastic approximation, introduced by Robbins and Monro in 1951, has become an important and vibrant subject in optimization, control and signal processing. This paper reviews Robbins' contributions to stochastic approximation and gives an overview of several related developments.