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Stochastic approximation with dependent noise

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  • Solo, V.

Abstract

In this work we derive the usual limit laws (weak and strong convergence, central limit theorem, invariance principle) for stochastic approximation with stationary noise. The idea is to introduce an artificial sequence, related to the SA scheme, but which clearly obeys the desired limit law. This sequence is subtracted from the SA scheme and the remainder, which behaves more or less deterministically, is shown to vanish using simple limit arguments.

Suggested Citation

  • Solo, V., 1982. "Stochastic approximation with dependent noise," Stochastic Processes and their Applications, Elsevier, vol. 13(2), pages 157-170, August.
    • Handle: RePEc:eee:spapps:v:13:y:1982:i:2:p:157-170
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