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Stochastic Approximation

  1. Alan J. Gross,
  2. David C. McLean Jr

Published Online: 15 JUL 2005

DOI: 10.1002/0470011815.b2a06026

Encyclopedia of Biostatistics

Encyclopedia of Biostatistics

How to Cite

Gross, A. J. and McLean, D. C. 2005. Stochastic Approximation. Encyclopedia of Biostatistics. 7.

Author Information

  1. Medical University of South Carolina, Charleston, SC, USA

Publication History

  1. Published Online: 15 JUL 2005

Abstract

Stochastic approximation is a method for approximating the root of the equation M(θ) = m0, when the function M(.) is not directly observable but can be cast as the expectation of a suitably defined regression function. The method was introduced by Robbins and Munro in 1951 and has since been extensively refined and extended. It has found application in many areas of biostatistics and in the application of neural networks.

Keywords:

  • approximation methods;
  • convergence;
  • neural networks;
  • optimization;
  • simulation methods