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July 1, 1992SIAM Journal on Control and Optimization1,882 citations

Acceleration of Stochastic Approximation by Averaging

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BPB. T. PolyakAJAnatoli Juditsky

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Abstract

A new recursive algorithm of stochastic approximation type with the averaging of trajectories is investigated. Convergence with probability one is proved for a variety of classical optimization and identification problems. It is also demonstrated for these problems that the proposed algorithm achieves the highest possible rate of convergence.

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Polyak et al. (1992) studied this question.

synapsesocial.com/papers/6a00b05c2ff633f365780cbdhttps://doi.org/10.1137/0330046
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