A Decision Theoretic Approach to a Stochastic Approximation Problem.
Abstract
The problem of approximating the root of a linear function with unit slope is investigated. The error random variables are assumed to be independent and identically distributed standard normal random variables. A stochastic approximation procedure is characterized as a sequence of decision functions corresponding to a particular sequence of statistical decision problems. Bayes procedures are characterized and convergence is proved. The harmonic Robbins-Monro procedure is shown to correspond to a sequence of 'natural' decision functions. A more general approximation problem is also considered. (Author)
Document Details
- Document Type
- Technical Report
- Publication Date
- Dec 01, 1968
- Accession Number
- AD0842318
Entities
People
- Donald L. Evans
Organizations
- Air Force Institute of Technology