A Stochastic Approximation Method

Code

• github.com/Songcheng-Ren/SGD
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Abstract

Let M(x) denote the expected value at level x of the response to a certain experiment. M(x) is assumed to be a monotone function of x but is unknown to the experimenter, and it is desired to find the solution x=θ of the equation M(x)=α, where α is a given constant. We give a method for making successive experiments at levels x1,x2,⋯ in such a way that xn will tend to θ in probability.

Reproductions