Stochastic approximation is a framework unifying many random iterative algorithms occurring in a diverse range of applications. The stability of the process is often difficult to verify in practical ...

Inhalt: The lecture "Stochastic Approximation" is aimed at Master's students who have a sound basic knowledge of probability theory including martingale theory. The lecture is concerned with ...

A new non-parametric stochastic approximation procedure for estimating the roots of a non-decreasing regression function is described. The observations are taken on a discrete lattice and the ...

It is the key objective of the ERC-funded MONTECARLO project to employ multilevel Monte Carlo and stochastic gradient descent type methods to design and analyse algorithms which provably overcome the ...