Stochastic Approximation Algorithm

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A Stochastic Approximation Algorithm is an Iterative Stochastic Optimization Algorithm that can solve an approximation task.



References

2017

2009

2003

2002

1952

  • (Kiefer & Wolfowitz, 1952) ⇒ J. Kiefer and J. Wolfowitz. (1952). “Stochastic Estimation of the Maximum of a Regression Function.” In: Annals of Mathematical Statistics 23(3).

1851

  • (Robbins & Monro, 1951) ⇒ Herbert Robbins, and Sutton Monro. (1951). “A Stochastic Approximation Method.” In: Annals of Mathematical Statistics, 22(3)