The proximal Robbins–Monro method
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Abstract
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DOI: 10.1111/rssb.12405
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References listed on IDEAS
- Borkar,Vivek S., 2008. "Stochastic Approximation," Cambridge Books, Cambridge University Press, number 9780521515924, September.
- Pascal Bianchi & Walid Hachem, 2016. "Dynamical Behavior of a Stochastic Forward–Backward Algorithm Using Random Monotone Operators," Journal of Optimization Theory and Applications, Springer, vol. 171(1), pages 90-120, October.
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Cited by:
- Rutger-Jan Lange & Bram van Os & Dick van Dijk, 2022. "Implicit score-driven filters for time-varying parameter models," Tinbergen Institute Discussion Papers 22-066/III, Tinbergen Institute, revised 01 Jun 2024.
- Bram van Os, 2023. "Information-Theoretic Time-Varying Density Modeling," Tinbergen Institute Discussion Papers 23-037/III, Tinbergen Institute.
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