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Sufficient and necessary condition for the convergence of stochastic approximation algorithms

Author

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  • Chen, Neiping
  • Liu, Wenbin
  • Feng, Jianfeng

Abstract

We present a sufficient and necessary condition for the convergence of stochastic approximation algorithms, which were proposed 50 years ago, have been widely applied to various areas and intensively investigated in theory. In the literature, only various sufficient conditions are known. The obtained condition is simple and has a clear physical meaning.

Suggested Citation

  • Chen, Neiping & Liu, Wenbin & Feng, Jianfeng, 2006. "Sufficient and necessary condition for the convergence of stochastic approximation algorithms," Statistics & Probability Letters, Elsevier, vol. 76(2), pages 203-210, January.
    • Handle: RePEc:eee:stapro:v:76:y:2006:i:2:p:203-210
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    References listed on IDEAS

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    1. Feng, Jianfeng & Georgii, Hans-Otto & Brown, David, 2000. "Convergence to global minima for a class of diffusion processes," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 276(3), pages 465-476.
    2. Bruce Hajek, 1988. "Cooling Schedules for Optimal Annealing," Mathematics of Operations Research, INFORMS, vol. 13(2), pages 311-329, May.
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