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Stochastic approximation. (English) Zbl 1039.62077
Summary: Stochastic approximation, introduced by H. Robbins and S. Monro [Ann. Math. Stat. 22, 400–407 (1951; Zbl 0054.05901)], has become an important and vibrant subject in optimization, control and signal processing. This paper reviews Robbins’ contributions to stochastic approximation and gives an overview of several related developments.
MSC:
62L20Stochastic approximation
60F15Strong limit theorems
93E24Least squares and related methods in stochastic control
01A70Biographies, obituaries, personalia, bibliographies