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Original Articles

On dynamic stochastic approximation

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Pages 437-448 | Received 01 May 1981, Published online: 27 Jun 2007
 

Abstract

The behaviour of the dynamic stochastic approximation algorithm suggested by DUPA[Cbreve] [4, 5] is examined under various conditions. Essentially, convergence in q.m. is proved and the rate of convergence is obtained for three classes of regression functions. Necessary and sufficient conditions are established for the convergence in q.m. of the algorithm in terms of the algorithm parameters for the stationary (nondynamic) case.

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