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 ...

Stochastic approximation encompasses iterative procedures designed to locate solutions of equations or optimise objective functions when only noisy or partial information is available. Originating ...

The stochastic root-finding problem is that of finding a zero of a vector-valued function known only through a stochastic simulation. The simulation-optimization problem is that of locating a ...