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A Strong Approximation Theorem for Stochastic Recursive Algorithms |
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| Authors: | Borkar V S Mitter S K |
| Institution: | (1) Department of Computer Science and Automation, Indian Institute of Science, Bangalore, India;(2) Laboratory for Information and Decision Systems, Massachusetts Institute of Technology, Cambridge, Massachusetts |
| Abstract: | The constant stepsize analog of Gelfand–Mitter type discrete-time stochastic recursive algorithms is shown to track an associated stochastic differential equation in the strong sense, i.e., with respect to an appropriate divergence measure. |
| Keywords: | Stochastic algorithms approximation of stochastic differential equations constant stepsize algorithms asymptotic behavior |
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