Accession Number:

AD0842318

Title:

A Decision Theoretic Approach to a Stochastic Approximation Problem.

Descriptive Note:

Master's thesis,

Corporate Author:

AIR FORCE INST OF TECH WRIGHT-PATTERSON AFB OH SCHOOL OF ENGINEERING

Personal Author(s):

Report Date:

1968-12-01

Pagination or Media Count:

41.0

Abstract:

The problem of approximating the root of a linear function with unit slope is investigated. The error random variables are assumed to be independent and identically distributed standard normal random variables. A stochastic approximation procedure is characterized as a sequence of decision functions corresponding to a particular sequence of statistical decision problems. Bayes procedures are characterized and convergence is proved. The harmonic Robbins-Monro procedure is shown to correspond to a sequence of natural decision functions. A more general approximation problem is also considered. Author

Subject Categories:

  • Statistics and Probability

Distribution Statement:

APPROVED FOR PUBLIC RELEASE