Asymptotic normality of randomly truncated stochastic algorithms

Details Asymptotic normality of randomly truncated stochastic algorithms Asymptotic normality of randomly truncated stochastic algorithms

2010-03-25

arxiv.org/abs/1003.4920v1

Mathematics

Probability

Scientific paper

We study the convergence rate of randomly truncated stochastic algorithms, which consist in the truncation of the standard Robbins-Monro procedure on an increasing sequence of compact sets. Such a truncation is often required in practice to ensure convergence when standard algorithms fail because the expected-value function grows too fast. In this work, we give a self contained proof of a central limit theorem for this algorithm under local assumptions on the expected-value function, which are fairly easy to check in practice.

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