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On the choice of step size in the Robbins-Monro procedure

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  • Goldstein, Larry

Abstract

The Robbins-Monro procedure is investigated for various choices of step sizes, including those of the form c / nlog n, c> 0. Rates of convergence using this and other choices are compared to rates obtained using cn[beta], for . Of all choices considered, it is seen that a procedure of Fabian's (1968) yields the best rate of convergence.

Suggested Citation

  • Goldstein, Larry, 1988. "On the choice of step size in the Robbins-Monro procedure," Statistics & Probability Letters, Elsevier, vol. 6(5), pages 299-303, April.
    • Handle: RePEc:eee:stapro:v:6:y:1988:i:5:p:299-303
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