A MULTI-STEP RICHARDSON-ROMBERG EXTRAPOLATION METHOD FOR STOCHASTIC APPROXIMATION

Abstract : We obtain an expansion of the implicit weak discretization error for the target of stochastic approximation algorithms introduced and studied in [Frikha2013]. This allows us to extend and develop the Richardson-Romberg extrapolation method for Monte Carlo linear estimator (introduced in [Talay & Tubaro 1990] and deeply studied in [Pagès 2007]) to the framework of stochastic optimization by means of stochastic approximation algorithm. We notably apply the method to the estimation of the quantile of diffusion processes. Numerical results confirm the theoretical analysis and show a significant reduction in the initial computational cost.
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Pré-publication, Document de travail
31 pages, 1 figure. 2015
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https://hal.archives-ouvertes.fr/hal-01064536
Contributeur : Noufel Frikha <>
Soumis le : lundi 9 mars 2015 - 14:48:14
Dernière modification le : mardi 11 octobre 2016 - 14:10:26
Document(s) archivé(s) le : mercredi 10 juin 2015 - 15:50:10

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  • HAL Id : hal-01064536, version 2
  • ARXIV : 1409.4748

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Noufel Frikha, Lorick Huang. A MULTI-STEP RICHARDSON-ROMBERG EXTRAPOLATION METHOD FOR STOCHASTIC APPROXIMATION. 31 pages, 1 figure. 2015. <hal-01064536v2>

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