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A Stochastic Approximation Method

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2 Author(s)

A new algorithm for stochastic approximation has been proposed, along with the assumptions and conditions necessary for convergence. It has been proved by two different methods that the algorithm converges to the sought value in the mean-square sense and with probability one. The rate of convergence of the new algorithm is shown to be better than two existing algorithms under certain conditions. Results of simulation have been given, making a realistic comparison between the three algorithms.

Published in:

IEEE Transactions on Systems, Man, and Cybernetics  (Volume:SMC-1 ,  Issue: 4 )