Generic Stochastic Gradient Methods
Bernard Bercu, Jean‐Claude Fort · Wiley Encyclopedia of Operations Research and Management Science · 2011
Abstract This article is devoted to a survey on generic stochastic gradient methods. It provides the main results on stochastic gradient approximations such as the almost sure convergence, the central limit theorem, and the almost sure central limit theorem. The theory is illustrated by a wide range of applications going from least‐square approximation to quantile estimation and quantization.