A Modified Robbins-Monro Procedure Approximating the Zero of a Regression Function from Below

A Robbins-Monro type procedure for estimating the zero of a regression function is discussed. The procedure is a modification of the Robbins-Monro procedure which is designed to approximate the zero from below. An almost sure convergence is proved and it is shown that one can guarantee that the proc...

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Veröffentlicht in:	The Annals of statistics 1977-01, Vol.5 (1), p.229-234
1. Verfasser:	Anbar, Dan
Format:	Artikel
Sprache:	eng
Schlagworte:	62L05 62L20 Applied statistics Approximation Dosage Martingales Mathematical procedures Mathematical theorems Mathematics Perceptron convergence procedure Random variables Robbins-Monro procedure search procedure sequential design Short Communications Stochastic approximation
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Zusammenfassung:	A Robbins-Monro type procedure for estimating the zero of a regression function is discussed. The procedure is a modification of the Robbins-Monro procedure which is designed to approximate the zero from below. An almost sure convergence is proved and it is shown that one can guarantee that the procedure overestimate the zero only finitely many times with probability one.
ISSN:	0090-5364 2168-8966
DOI:	10.1214/aos/1176343758