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Monte Carlo Methods and Applications

Managing Editor: Sabelfeld, Karl K.

Editorial Board Member: Binder, Kurt / Bouleau, Nicolas / Chorin, Alexandre J. / Dimov, Ivan / Dubus, Alain / Egorov, Alexander D. / Ermakov, Sergei M. / Halton, John H. / Heinrich, Stefan / Kalos, Malvin H. / Lepingle, D. / Makarov, Roman / Mascagni, Michael / Mathe, Peter / Niederreiter, Harald / Platen, Eckhard / Sawford, Brian R. / Schmid, Wolfgang Ch. / Schoenmakers, John / Simonov, Nikolai A. / Sobol, Ilya M. / Spanier, Jerry / Talay, Denis

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Online
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1569-3961
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Volume 9, Issue 1 (Jan 2003)

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On a discrete stochastic approximation and its application to data analysis

Shuhei Ogihara / Shigeyoshi Ogawa

Stochastic approximation is a method to search for the unique solution of the equation M(x) = α under noisy observation. In this note, we are concerned with a discrete version of the method and its applications to data analysis.

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Published Online:

Published in Print: 2003-01-01


Citation Information: Monte Carlo Methods and Applications mcma, ISSN (Online) 1569-3961, ISSN (Print) 0929-9629, DOI: https://doi.org/10.1515/156939603322587452. Export Citation

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[1]
G. Yin, Vikram Krishnamurthy, and Cristina Ion
SIAM Journal on Optimization, 2004, Volume 14, Number 4, Page 1187
[2]
Christophe Andrieu, Éric Moulines, and Pierre Priouret
SIAM Journal on Control and Optimization, 2005, Volume 44, Number 1, Page 283

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