Exact bounds for the rate of convergence in general stochastic approximation procedures
Valery Koval, Rainer Schwabe · Stochastic Analysis and Applications · 1998
In this paper exact constants are given for the rate of convergence of the solution x n of the nonlinear difference equation towards the root θ of f under very general conditions on the steplengths an , on the weighting factors bn and on the random noise vn . Moreover, an almost sure representation is developed for the deviation xn – θ by weighted sums of (independent) random variables